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Stima del Value-at-Risk con il Filtro di Kalman

Author

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  • Cristina Sommacampagna

    () (Università di Verona)

Abstract

In questo articolo si sviluppa un nuovo approccio per il calcolo del Value-at-Risk che utilizza il Filtro di Kalman per stimare il beta dei titoli di un portafoglio. Tale tecnica viene applicata al portafoglio azionario di una società assicurativa e confrontata con i metodi tradizionali basati sulla matrice di varianza-covarianza dei rendimenti e il beta di Sharpe stimato con i minimi quadrati ordinari. L’analisi di back testing evidenzia che la metodologia proposta è in grado di cogliere la dinamica del mercato finanziario e di adattarsi con flessibilità alle esigenze di copertura di un’istituzione finanziaria.

Suggested Citation

  • Cristina Sommacampagna, 2002. "Stima del Value-at-Risk con il Filtro di Kalman," Rivista di Politica Economica, SIPI Spa, vol. 92(6), pages 147-174, November-.
  • Handle: RePEc:rpo:ripoec:v:92:y:2002:i:6:p:147-174
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    File URL: http://www.rivistapoliticaeconomica.it/2002/nov-dic/sommacamp.pdf
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    References listed on IDEAS

    as
    1. Evis Këllezi & Manfred Gilli, 2000. "Extreme Value Theory for Tail-Related Risk Measures," FAME Research Paper Series rp18, International Center for Financial Asset Management and Engineering.
    2. McNeil, Alexander J., 1997. "Estimating the Tails of Loss Severity Distributions Using Extreme Value Theory," ASTIN Bulletin: The Journal of the International Actuarial Association, Cambridge University Press, vol. 27(01), pages 117-137, May.
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    More about this item

    JEL classification:

    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)

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