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Méthodes de décomposition de la volatilité d'un portefeuille. Une nouvelle approche d'estimation des risques par l'indice de Gini

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  • Stéphane Mussard
  • Virginie Terraza

Abstract

Decomposition methods of a portofolio volatility: a new approach for risk estimations using the Gini index The decomposable inequality measures allow one to gauge the inequalities within and between the populations. The Gini index is assimilated to a volatility measure in order to obtain a new ratio of financial risk. We use another measure that is the ?ValueatRisk? estimated from a heteroscedastic model with a 95 % probability. In contrast to the traditional indicators of risk, the VaR measures the potential losses included in the tail of the distribution. Then, it is possible to compare the decomposed Gini index with these standard measures of risk. The aim of this research is to establish a link between the financial risk and the class of decomposable inequality indices with an application to the French stock market.

Suggested Citation

  • Stéphane Mussard & Virginie Terraza, 2004. "Méthodes de décomposition de la volatilité d'un portefeuille. Une nouvelle approche d'estimation des risques par l'indice de Gini," Revue d'économie politique, Dalloz, vol. 114(4), pages 557-571.
    • Handle: RePEc:cai:repdal:redp_144_0557
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    References listed on IDEAS

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    1. Shorrocks, Anthony F, 1984. "Inequality Decomposition by Population Subgroups," Econometrica, Econometric Society, vol. 52(6), pages 1369-1385, November.
    2. Shorrocks, A F, 1982. "Inequality Decomposition by Factor Components," Econometrica, Econometric Society, vol. 50(1), pages 193-211, January.
    3. Bourguignon, Francois, 1979. "Decomposable Income Inequality Measures," Econometrica, Econometric Society, vol. 47(4), pages 901-920, July.
    4. Engle, Robert F, 1982. "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation," Econometrica, Econometric Society, vol. 50(4), pages 987-1007, July.
    5. Dagum, Camilo, 1997. "A New Approach to the Decomposition of the Gini Income Inequality Ratio," Empirical Economics, Springer, vol. 22(4), pages 515-531.
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    Cited by:

    1. virginie terraza & stephane mussard, 2007. "New trading risk indexes: application of the shapley value in finance," Economics Bulletin, AccessEcon, vol. 3(25), pages 1-7.

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