Sensitivity analysis of Values at Risk

C. Gourieroux; J. P. Laurent; O. Scaillet

doi:10.1016/S0927-5398(00)00011-6

Sensitivity analysis of Values at Risk

C. Gourieroux
, J. P. Laurent
, O. Scaillet

CREST and CEPREMAP
IGFL, Université de Lyon, Université Lyon 1
University of Louvain

Research output: Contribution to journal › Article › peer-review

225 Citations (Scopus)

Abstract

The aim of this paper is to analyze the sensitivity of Value at Risk (VaR) with respect to portfolio allocation. We derive analytical expressions for the first and second derivatives of the VaR, and explain how they can be used to simplify statistical inference and to perform a local analysis of the VaR. An empirical illustration of such an analysis is given for a portfolio of French stocks.

Original language	English
Pages (from-to)	225-245
Number of pages	21
Journal	Journal of Empirical Finance
Volume	7
Issue number	3-4
DOIs	https://doi.org/10.1016/S0927-5398(00)00011-6
Publication status	Published - 1 Jan 2000
Externally published	Yes

Keywords

C14
D81
G11
G28
IsoVar
Kernel estimators
Quantile
Risk management
VaR efficient portfolio
Value at Risk

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10.1016/S0927-5398(00)00011-6

Cite this

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title = "Sensitivity analysis of Values at Risk",

abstract = "The aim of this paper is to analyze the sensitivity of Value at Risk (VaR) with respect to portfolio allocation. We derive analytical expressions for the first and second derivatives of the VaR, and explain how they can be used to simplify statistical inference and to perform a local analysis of the VaR. An empirical illustration of such an analysis is given for a portfolio of French stocks.",

keywords = "C14, D81, G11, G28, IsoVar, Kernel estimators, Quantile, Risk management, VaR efficient portfolio, Value at Risk",

author = "C. Gourieroux and Laurent, \{J. P.\} and O. Scaillet",

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AB - The aim of this paper is to analyze the sensitivity of Value at Risk (VaR) with respect to portfolio allocation. We derive analytical expressions for the first and second derivatives of the VaR, and explain how they can be used to simplify statistical inference and to perform a local analysis of the VaR. An empirical illustration of such an analysis is given for a portfolio of French stocks.

KW - C14

KW - D81

KW - G11

KW - G28

KW - IsoVar

KW - Kernel estimators

KW - Quantile

KW - Risk management

KW - VaR efficient portfolio

KW - Value at Risk

U2 - 10.1016/S0927-5398(00)00011-6

DO - 10.1016/S0927-5398(00)00011-6

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VL - 7

SP - 225

EP - 245

JO - Journal of Empirical Finance

JF - Journal of Empirical Finance

IS - 3-4

ER -

Sensitivity analysis of Values at Risk

Abstract

Keywords

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