A sequential modelling of the VaR

Alain Monfort ()

Documents de Travail from Banque de France

Abstract: We consider the VaR associated with the global loss generated by a set risk sources. We propose a sequence of simple models incorporating progressively the notions of contagion due to instantaneous correlations, of serial correlation, of evolution of the instantaneous correlations, of volatility clustering, of conditional heteroskedasticity and of persistency of shocks. The tools used are the standard and extended Kalman filters.

Keywords: VaR; factor models; correlation; volatility clustering; Kalman filter. (search for similar items in EconPapers)
JEL-codes: C10 G11 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-bec, nep-cba, nep-ecm and nep-rmg
Date: 2009

Downloads: (external link)
http://www.banque-france.fr/fr/publications/telech ... avail/2009/DT250.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:bfr:banfra:250

Access Statistics for this paper

More papers in Documents de Travail from Banque de France
Address: Banque de France 31 Rue Croix des Petits Champs LABOLOG - 49-1404 75049 PARIS
Contact information at EDIRC.
Series data maintained by Thierry Demoulin ().