Sensitivity Analysis of Values at Risk

Christian S. Gourieroux, J. P. Laurent and Olivier Scaillet ()
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J. P. Laurent: Universite de Lyon I and CREST

No 162, Econometric Society World Congress 2000 Contributed Papers from Econometric Society

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 Value at Risk, and explain how they can be used to simplify statistical inference and to perform a local analysis of the Value at Risk. An empirical illustration of such an analysis is given for a portfolio of French stocks.

Date: 2000-08-01
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Related works:
Working Paper: Sensitivity Analysis of Values at Risk (2000)
Working Paper: Sensitivity analysis of values at risk (2000)
Working Paper: Sensitivity Analysis of Values at Risk (2000)
Journal Article: Sensitivity analysis of Values at Risk (2000)
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Persistent link: http://EconPapers.repec.org/RePEc:ecm:wc2000:0162

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