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Une modélisation séquentielle de la VaR

Author

Listed:
  • Alain Monfort.

Abstract

We consider the VaR associated with the global loss generated by a set risk sources. We propose a sequence of simple models incorporating progressively the notions of contagion due to instantaneous correlations, of serial correlation, of evolution of the instantaneous correlations, of volatility clustering, of conditional heteroskedasticity and of persistency of shocks. The tools used are the standard and extended Kalman filters.

Suggested Citation

  • Alain Monfort., 2009. "Une modélisation séquentielle de la VaR," Working papers 250, Banque de France.
  • Handle: RePEc:bfr:banfra:250
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    File URL: https://publications.banque-france.fr/sites/default/files/medias/documents/working-paper_250_2009.pdf
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    References listed on IDEAS

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    5. Guillaume Horny, 2009. "Inference in mixed proportional hazard models with K random effects," Statistical Papers, Springer, vol. 50(3), pages 481-499, June.
    6. Lancaster, Tony, 1979. "Econometric Methods for the Duration of Unemployment," Econometrica, Econometric Society, vol. 47(4), pages 939-956, July.
    7. Bolstad W. M & Manda S. O, 2001. "Investigating Child Mortality in Malawi Using Family and Community Random Effects: A Bayesian Analysis," Journal of the American Statistical Association, American Statistical Association, vol. 96, pages 12-19, March.
    8. Bo E. Honoré, 1993. "Identification Results for Duration Models with Multiple Spells," Review of Economic Studies, Oxford University Press, vol. 60(1), pages 241-246.
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    Cited by:

    1. Vincent Vicard & Emmanuelle Lavallée, 2013. "National borders matter...where one draws the lines too," Post-Print hal-01548193, HAL.

    More about this item

    Keywords

    VaR; factor models; correlation; volatility clustering; Kalman filter.;

    JEL classification:

    • C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions

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