Computational aspects of portfolio risk estimation in volatile markets: a survey

Frank Fabozzi (), Stoyanov Stoyan V. () and Rachev Svetlozar T. ()
Additional contact information
Stoyanov Stoyan V.: EDHEC Business School, EDHEC-Risk Institute–Asia, 1, George Street, #07-02, Singapore 049145
Rachev Svetlozar T.: College of Business and Department of Applied Mathematics and Statistics, Stony Brook University, NY, USA FinAnalytica, Heavy Engineering S250, Stony Brook, NY 11794, USA

Studies in Nonlinear Dynamics & Econometrics, 2013, vol. 17, issue 1, 103-120

Abstract: Portfolio risk estimation requires appropriate modeling of fat-tails and asymmetries in dependence in combination with a true downside risk measure. In this survey, we discuss computational aspects of a Monte Carlo based framework for risk estimation and risk capital allocation. We review different probabilistic approaches focusing on practical aspects of statistical estimation and scenario generation. We discuss value-at-risk and conditional value-at-risk and comment on the implications of using a fat-tailed Monte Carlo framework for the reliability of risk estimates including model risk and Monte Carlo variability.

Keywords: conditional value at risk; value at risk; copula; fat-tailed models; Monte Carlo (search for similar items in EconPapers)
Date: 2013
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://doi.org/10.1515/snde-2012-0004 (text/html)
For access to full text, subscription to the journal or payment for the individual article is required.

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: https://EconPapers.repec.org/RePEc:bpj:sndecm:v:17:y:2013:i:1:p:103-120:n:1

Ordering information: This journal article can be ordered from
https://www.degruyter.com/journal/key/snde/html

DOI: 10.1515/snde-2012-0004

Access Statistics for this article

Studies in Nonlinear Dynamics & Econometrics is currently edited by Bruce Mizrach

More articles in Studies in Nonlinear Dynamics & Econometrics from De Gruyter
Bibliographic data for series maintained by Peter Golla ().