Asymptotic behavior of tails and quantiles of quadratic forms of Gaussian vectors

Stefan Jaschke, Claudia Klüppelberg and Alexander Lindner

Journal of Multivariate Analysis, 2004, vol. 88, issue 2, 252-273

Abstract: We derive results on the asymptotic behavior of tails and quantiles of quadratic forms of Gaussian vectors. They appear in particular in delta-gamma models in financial risk management approximating portfolio returns. Quantile estimation corresponds to the estimation of the Value-at-Risk, which is a serious problem in high dimension.

Keywords: Quadratic; forms; of; Gaussian; vectors; Tail; behavior; Delta-gamma; method; Value-at-Risk; Quantile; estimation (search for similar items in EconPapers)
Date: 2004
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Citations: View citations in EconPapers (1)

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