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Multivariate heavy-tailed models for Value-at-Risk estimation

  • Carlo Marinelli
  • Stefano d'Addona
  • Svetlozar T. Rachev

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 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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File URL: http://arxiv.org/pdf/1005.2862
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Paper provided by arXiv.org in its series Papers with number 1005.2862.

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Date of creation: May 2010
Date of revision: Dec 2011
Handle: RePEc:arx:papers:1005.2862
Contact details of provider: Web page: http://arxiv.org/

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  1. Kotz,Samuel & Nadarajah,Saralees, 2004. "Multivariate T-Distributions and Their Applications," Cambridge Books, Cambridge University Press, number 9780521826549.
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