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A sequential modelling of the VaR

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Author Info
Alain Monfort.

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Abstract

We consider the VaR associated with the global loss generated by a set risk sources. We propose a sequence of simple models incorporating progressively the notions of contagion due to instantaneous correlations, of serial correlation, of evolution of the instantaneous correlations, of volatility clustering, of conditional heteroskedasticity and of persistency of shocks. The tools used are the standard and extended Kalman filters.

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File URL: http://www.banque-france.fr/fr/publications/telechar/documents_de_travail/2009/DT250.pdf
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Publisher Info
Paper provided by Banque de France in its series Documents de Travail with number 250.

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Length: 37 pages
Date of creation: 2009
Date of revision:
Handle: RePEc:bfr:banfra:250

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Postal: Banque de France 31 Rue Croix des Petits Champs LABOLOG - 49-1404 75049 PARIS
Web page: http://www.banque-france.fr/
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Related research
Keywords: VaR; factor models; correlation; volatility clustering; Kalman filter.;

Find related papers by JEL classification:
C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - General
G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions

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This page was last updated on 2009-12-2.

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