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Assessment of Multivariate Financial Risks of a Stock Share Portfolio

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  • Kritski, Oleg
  • Ulyanova, Marina

Abstract

The method of evaluation of stochastic volatility (SV) model coefficients, with time going to the infinity, is consid-ered. The problem of finding the solution of a system of stochastic differential equations is reduced to that of the analytical solution of the Fokker-Planck-Kolmogorov asymptotic equation. The constructed algorithm is applied to econometric analysis of daily GAZPROM share prices and values of S&P500 Index options (SPX).

Suggested Citation

  • Kritski, Oleg & Ulyanova, Marina, 2007. "Assessment of Multivariate Financial Risks of a Stock Share Portfolio," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 8(4), pages 3-17.
    • Handle: RePEc:ris:apltrx:0139
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    References listed on IDEAS

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    1. Ying Chen & Wolfgang Härdle & Vladimir Spokoiny, 2005. "Portfolio Value at Risk Based on Independent Components Analysis," SFB 649 Discussion Papers SFB649DP2005-060, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    2. Robert F. Engle & Simone Manganelli, 1999. "CAViaR: Conditional Value at Risk by Quantile Regression," NBER Working Papers 7341, National Bureau of Economic Research, Inc.
    3. I. D. Vrontos & P. Dellaportas & D. N. Politis, 2003. "A full-factor multivariate GARCH model," Econometrics Journal, Royal Economic Society, vol. 6(2), pages 312-334, December.
    4. Giamouridis, Daniel & Vrontos, Ioannis D., 2007. "Hedge fund portfolio construction: A comparison of static and dynamic approaches," Journal of Banking & Finance, Elsevier, vol. 31(1), pages 199-217, January.
    5. Philippe Artzner & Freddy Delbaen & Jean‐Marc Eber & David Heath, 1999. "Coherent Measures of Risk," Mathematical Finance, Wiley Blackwell, vol. 9(3), pages 203-228, July.
    6. Carol Alexander, 2002. "Principal Component Models for Generating Large GARCH Covariance Matrices," Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 31(2), pages 337-359, July.
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    Cited by:

    1. Mikhail Semenov & Daulet Smagulov, 2017. "Portfolio Risk Assessment using Copula Models," Papers 1707.03516, arXiv.org.
    2. Bologov , Yaroslav, 2013. "A copula-based approach to portfolio credit risk modeling," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 29(1), pages 45-66.

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    More about this item

    Keywords

    stochastic volatility model; Fokker-Planck-Kolmogorov equation;

    JEL classification:

    • C02 - Mathematical and Quantitative Methods - - General - - - Mathematical Economics
    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General

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