IDEAS home Printed from https://ideas.repec.org/
MyIDEAS: Login to save this article or follow this journal

Return and Value at Risk using the Dirichlet Process

  • Mahmoud Zarepour
  • Thierry Bedard
  • Andre Dabrowski
Registered author(s):

    There exists a wide variety of models for return, and the chosen model determines the tool required to calculate the value at risk (VaR). This paper introduces an alternative methodology to model-based simulation by using a Monte Carlo simulation of the Dirichlet process. The model is constructed in a Bayesian framework, using properties initially described by Ferguson. A notable advantage of this model is that, on average, the random draws are sampled from a mixed distribution that consists of a prior guess by an expert and the empirical process based on a random sample of historical asset returns. The method is relatively automatic and similar to machine learning tools, e.g. the estimate is updated as new data arrive.

    If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

    File URL: http://www.tandfonline.com/doi/abs/10.1080/13504860701718448
    Download Restriction: Access to full text is restricted to subscribers.

    As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.

    Article provided by Taylor & Francis Journals in its journal Applied Mathematical Finance.

    Volume (Year): 15 (2008)
    Issue (Month): 3 ()
    Pages: 205-218

    as
    in new window

    Handle: RePEc:taf:apmtfi:v:15:y:2008:i:3:p:205-218
    Contact details of provider: Web page: http://www.tandfonline.com/RAMF20

    Order Information: Web: http://www.tandfonline.com/pricing/journal/RAMF20

    No references listed on IDEAS
    You can help add them by filling out this form.

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    When requesting a correction, please mention this item's handle: RePEc:taf:apmtfi:v:15:y:2008:i:3:p:205-218. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Michael McNulty)

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.