- Tytuł:
- Bayesian Value-at-Risk for a Portfolio: Multi- and Univariate Approaches Using MSF-SBEKK Models
- Autorzy:
-
Osiewalski, Jacek
Pajor, Anna - Powiązania:
- https://bibliotekanauki.pl/articles/483373.pdf
- Data publikacji:
- 2010
- Wydawca:
- Polska Akademia Nauk. Czytelnia Czasopism PAN
- Tematy:
-
Bayesian econometrics
risk analysis
multivariate GARCH processes
multivariate SV processes
hybrid SV-GARCH models - Opis:
- The s-period ahead Value-at-Risk (VaR) for a portfolio of dimension n is considered and its Bayesian analysis is discussed. The VaR assessment can be based either on the n-variate predictive distribution of future returns on individual assets, or on the univariate Bayesian model for the portfolio value (or the return on portfolio). In both cases Bayesian VaR takes into account parameter uncertainty and non-linear relationship between ordinary and logarithmic returns. In the case of a large portfolio, the applicability of the n-variate approach to Bayesian VaR depends on the form of the statistical model for asset prices. We use the n-variate type I MSF-SBEKK(1,1) volatility model proposed specially to cope with large n. We compare empirical results obtained using this multivariate approach and the much simpler univariate approach based on modelling volatility of the value of a given portfolio.
- Źródło:
-
Central European Journal of Economic Modelling and Econometrics; 2010, 2, 4; 253-277
2080-0886
2080-119X - Pojawia się w:
- Central European Journal of Economic Modelling and Econometrics
- Dostawca treści:
- Biblioteka Nauki
Artykuł