Une modélisation séquentielle de la VaR
AbstractWe 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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Bibliographic InfoPaper provided by Banque de France in its series Working papers with number 250.
Length: 37 pages
Date of creation: 2009
Date of revision:
VaR; factor models; correlation; volatility clustering; Kalman filter.;
Find related papers by JEL classification:
- C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
This paper has been announced in the following NEP Reports:
- NEP-ALL-2009-10-24 (All new papers)
- NEP-BEC-2009-10-24 (Business Economics)
- NEP-CBA-2009-10-24 (Central Banking)
- NEP-ECM-2009-10-24 (Econometrics)
- NEP-RMG-2009-10-24 (Risk Management)
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