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D'un multiple conditionnel en assurance de portefeuille : CAViaR pour les gestionnaires ?

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Author Info

  • Benjamin Hamidi

    ()
    (A.A.Advisors-QCG - ABN AMRO, CES - Centre d'économie de la Sorbonne - CNRS : UMR8174 - Université Paris I - Panthéon-Sorbonne)

  • Emmanuel Jurczenko

    ()
    (ESCP-EAP - ESCP-EAP)

  • Bertrand Maillet

    ()
    (A.A.Advisors-QCG - ABN AMRO, CES - Centre d'économie de la Sorbonne - CNRS : UMR8174 - Université Paris I - Panthéon-Sorbonne, EIF - Europlace Institute of Finance)

Abstract

Dans le cadre de l'assurance de portefeuille à coussin, le multiple garantit une exposition constante au risque. Nous proposons une méthode alternative d'estimation conditionnelle de ce multiple, basée sur une modélisation dynamique du centile et la méthode de régression sur quantile. Après avoir estimé différentes versions de notre modèle sur le marché des actions américaines, nous comparons les performances relatives des portefeuilles gérés avec des multiples conditionnels et inconditionnels.

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Bibliographic Info

Paper provided by HAL in its series Post-Print with number halshs-00389773.

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Date of creation: May 2009
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Handle: RePEc:hal:journl:halshs-00389773

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Related research

Keywords: Assurance de portefeuille; CPPI; valeurs extrêmes; régression sur quantile.;

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References

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  1. Robert Engle & Simone Manganelli, 2000. "CAViaR: Conditional Autoregressive Value at Risk by Regression Quantiles," Econometric Society World Congress 2000 Contributed Papers 0841, Econometric Society.
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