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

Résultats de recherche: Contribution à un journal › Article › Revue par des pairs

225 Citations (Scopus)

Résumé

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.

langue originale	Anglais
Pages (de - à)	225-245
Nombre de pages	21
journal	Journal of Empirical Finance
Volume	7
Numéro de publication	3-4
Les DOIs	https://doi.org/10.1016/S0927-5398(00)00011-6
état	Publié - 1 janv. 2000
Modification externe	Oui

Accès au document

10.1016/S0927-5398(00)00011-6

Contient cette citation

@article{e682db10a7ec46b183802105ea1a95fe,

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",

year = "2000",

month = jan,

day = "1",

doi = "10.1016/S0927-5398(00)00011-6",

language = "English",

volume = "7",

pages = "225--245",

journal = "Journal of Empirical Finance",

issn = "0927-5398",

publisher = "Elsevier B.V.",

number = "3-4",

}

TY - JOUR

T1 - Sensitivity analysis of Values at Risk

AU - Gourieroux, C.

AU - Laurent, J. P.

AU - Scaillet, O.

PY - 2000/1/1

Y1 - 2000/1/1

N2 - 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.

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

M3 - Article

AN - SCOPUS:0000740327

SN - 0927-5398

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

Résumé

Accès au document

Empreinte digitale

Contient cette citation