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L'approche dare pour une mesure de risque diversifiée


  • Benjamin Hamidi
  • Patrick Kouontchou
  • Bertrand Maillet


The objective of this paper is to provide a complete framework to aggregate different quantile and expectile models for obtaining more diversified Value-at-Risk and Expected Shortfall measures, by applying the diversification principle to model risk. Following Taylor [2008] and Gouriéroux and Jasiak [2008], we introduce a new class of models called Dynamic AutoRegressive Expectiles (dare). We first briefly present the main literature about VaR and es estimations, and we secondly explain the dare approach and how expectiles can be used to estimate quantile risk measures. We finally use the main validation tests to compare the dare approach to other traditional methods for computing extreme risk measures on the French stock market. Classification JEL : C14, C50, G11, G32.

Suggested Citation

  • Benjamin Hamidi & Patrick Kouontchou & Bertrand Maillet, 2010. "L'approche dare pour une mesure de risque diversifiée," Revue économique, Presses de Sciences-Po, vol. 61(3), pages 635-643.
  • Handle: RePEc:cai:recosp:reco_613_0635

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    JEL classification:

    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • C50 - Mathematical and Quantitative Methods - - Econometric Modeling - - - General
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill


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