Multivariate Heavy-Tailed Models For Value-At-Risk Estimation
For purposes of Value-at-Risk estimation, we consider several multivariate families of heavy-tailed distributions, which can be seen as multidimensional versions of Paretian stable and Student's t distributions allowing different marginals to have different indices of tail thickness. After a discussion of relevant estimation and simulation issues, we conduct a backtesting study on a set of portfolios containing derivative instruments, using historical US stock price data.
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Volume (Year): 15 (2012)
Issue (Month): 04 ()
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