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Etude de la performance d’une Value-at-Risk chaotique pour l’indice CAC 40

Author

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  • Rachida Hennani
  • Michel Terraza

Abstract

L’accroissement du risque de marché sur les places financières a conduit les autorités de régulation à imposer le calcul d’une mesure de risques extrêmes : la Value-at-Risk. FIGLEWSKI(1997) et JPMORGAN(1996) dans son modèle Riskmetrics, recommandent dans le calcul de la VaR d’utiliser une moyenne des rentabilités nulle. Cette hypothèse, souvent retenue dans une grande partie des analyses sur la VaR, implique une perte d’informations dans sa construction.[...]

Suggested Citation

  • Rachida Hennani & Michel Terraza, 2011. "Etude de la performance d’une Value-at-Risk chaotique pour l’indice CAC 40," Working Papers 11-18, LAMETA, Universtiy of Montpellier, revised Nov 2011.
  • Handle: RePEc:lam:wpaper:11-18
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    File URL: http://www.lameta.univ-montp1.fr/Documents/DR2011-18.pdf
    File Function: First version, 2011
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    Cited by:

    1. Rachida Hennani & Michel Terraza, 2015. "Contributions of a noisy chaotic model to the stressed Value-at-Risk," Economics Bulletin, AccessEcon, vol. 35(2), pages 1262-1273.

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