RISK MANAGEMENT UNDER A FACTOR STOCHASTIC VOLATILITY MODEL

Marcos Escobar Anel () and Pablo Olivares ()
Additional contact information
Pablo Olivares: Department of Mathematics, Ryerson University, Canada

Asia-Pacific Journal of Operational Research (APJOR), 2011, vol. 28, issue 01, 65-80

Abstract: In this paper, we study risk measures and portfolio problems based on a Stochastic Volatility Factor Model (SVFM). We analyze the sensitivity of Value at Risk (VaR) and Expected Shortfall (ES) to the changes in the parameters of the model. We compare the positions of a linear portfolio under assets following a SVFM, a Black–Scholes Model and a model with constant dependence structure. We consider an application to a portfolio of three selected Asian funds.

Keywords: Stochastic correlation; factor models; expected shortfall; value at risk; portfolio management (search for similar items in EconPapers)
Date: 2011
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://www.worldscientific.com/doi/abs/10.1142/S0217595911003053
Access to full text is restricted to subscribers

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:wsi:apjorx:v:28:y:2011:i:01:n:s0217595911003053

Ordering information: This journal article can be ordered from

DOI: 10.1142/S0217595911003053

Access Statistics for this article

Asia-Pacific Journal of Operational Research (APJOR) is currently edited by Gongyun Zhao

More articles in Asia-Pacific Journal of Operational Research (APJOR) from World Scientific Publishing Co. Pte. Ltd.
Bibliographic data for series maintained by Tai Tone Lim ().