Are conditional Value-at-Risk models justifiable?

A. Sfetsos and L. Kalyvas

Applied Financial Economics Letters, 2007, vol. 3, issue 2, 129-132

Abstract: The recent trend in estimating Value-at-Risk for modern and increasingly complex portfolios is the introduction of conditional models accounting for the heteroscedasticity of market risk factors. In this work, the introduction of complex methodologies is justified in relation to the dynamical characteristics of portfolios, represented by the concept of entropy.

Date: 2007
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DOI: 10.1080/17446540600771050

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