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Stima del Value-at-Risk con il Filtro di Kalman

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  • Cristina Sommacampagna

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    (Università di Verona)

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    Abstract

    In questo articolo si sviluppa un nuovo approccio per il calcolo del Value-at-Risk che utilizza il Filtro di Kalman per stimare il beta dei titoli di un portafoglio. Tale tecnica viene applicata al portafoglio azionario di una società assicurativa e confrontata con i metodi tradizionali basati sulla matrice di varianza-covarianza dei rendimenti e il beta di Sharpe stimato con i minimi quadrati ordinari. L’analisi di back testing evidenzia che la metodologia proposta è in grado di cogliere la dinamica del mercato finanziario e di adattarsi con flessibilità alle esigenze di copertura di un’istituzione finanziaria.

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    File URL: http://www.rivistapoliticaeconomica.it/2002/nov-dic/sommacamp.pdf
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    Bibliographic Info

    Article provided by SIPI Spa in its journal Rivista di Politica Economica.

    Volume (Year): 92 (2002)
    Issue (Month): 6 (November-December)
    Pages: 147-174

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    Handle: RePEc:rpo:ripoec:v:92:y:2002:i:6:p:147-174

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    1. Evis Këllezi & Manfred Gilli, 2000. "Extreme Value Theory for Tail-Related Risk Measures," FAME Research Paper Series rp18, International Center for Financial Asset Management and Engineering.
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