Couverture du risque de volatilité et de corrélation dans un portefeuille

Hassan Malongo

in Economics Thesis from University Paris Dauphine from Paris Dauphine University

Abstract: This work focuses on modeling the dynamics of volatilities and correlations between financial assets returns. After a literature review of univariate and multivariate GARCH-type models, the author establishes results for the existence and uniqueness of stationary solutions of dynamic correlations models (DCC model, Engle 2002). He then extends this class of models including instantaneous volatility and probability of regime changes in the dynamics of correlations. The new models are empirically evaluated on a MSCI portfolio. Formal tests have shown that some of these new specifications improve predictive power of the returns covariance matrix that would be useful in portfolio management. Finally, focusing now on the volatility risk, the author shows that hedging strategies of main European equity indices based on implied volatility indices (VIX, VSTOXX) are relevant and allow to both hedge and reduce the equity risk of a portfolio.

Keywords: Risque de volatilité et de corrélation; Régimes de volatilité; Stratégies de couverture; Allocation d'actifs; Conditions de stationnarité; VaR; Garch; Dcc; Volatility and correlation risk; Volatility regimes; Hedging strategies; Asset allocation; Stationarity conditions (search for similar items in EconPapers)
JEL-codes: G11 G15 (search for similar items in EconPapers)
Date: 2014 Written 2014
Note: dissertation
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