Dynamic factor Value-at-Risk for large heteroskedastic portfolios

Sirio Aramonte, Marius del Giudice Rodriguez and Jason Wu ()

Journal of Banking & Finance, 2013, vol. 37, issue 11, 4299-4309

Abstract: We propose a methodology that can efficiently measure the Value-at-Risk (VaR) of large portfolios with time-varying volatility and correlations by bringing together the established historical simulation framework and recent contributions to the dynamic factor models literature. We find that the proposed methodology performs well relative to widely used VaR methodologies, and is a significant improvement from a computational point of view.

Keywords: Risk management; Value-at-Risk; Dynamic factor models (search for similar items in EconPapers)
JEL-codes: C53 C58 G32 (search for similar items in EconPapers)
Date: 2013
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (17)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0378426613003130
Full text for ScienceDirect subscribers only

Related works:
Working Paper: Dynamic factor value-at-risk for large, heteroskedastic portfolios (2011)
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:eee:jbfina:v:37:y:2013:i:11:p:4299-4309

DOI: 10.1016/j.jbankfin.2013.07.038

Access Statistics for this article

Journal of Banking & Finance is currently edited by Ike Mathur

More articles in Journal of Banking & Finance from Elsevier
Bibliographic data for series maintained by Catherine Liu ().