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Portfolio Value at Risk Based on Independent Components Analysis (2005)

Chen, Ying ; Härdle, Wolfgang Karl ; Spokoiny, Vladimir

Berlin : Humboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät

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UID:

edochu_18452_4578

Format: 1 Online-Ressource (25 Seiten)

ISSN: 1860-5664

Series Statement: 2005,60

Content: Risk management technology applied to high dimensional portfolios needs simple and fast methods for calculation of Value-at-Risk (VaR). The multivariate normal framework provides a simple off-the-shelf methodology but lacks the heavy tailed distributional properties that are observed in data. A principle component based method (tied closely to the elliptical structure of the distribution) is therefore expected to be unsatisfactory. Here we propose and analyze a technology that is based on Independent Component Analysis (ICA). We study the proposed ICVaR methodology in an extensive simulation study and apply it to a high dimensional portfolio situation. Our analysis yields very accurate VaRs.

Language: English

DOI: 10.18452/3926

URN: urn:nbn:de:kobv:11-10055033

URL: Volltext (kostenfrei)

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