Multivariate heavy-tailed models for Value-at-Risk estimation

Carlo Marinelli, Stefano d'Addona and Svetlozar T. Rachev

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Abstract: For purposes of Value-at-Risk estimation, we consider several multivariate families of heavy-tailed distributions, which can be seen as multidimensional versions of Paretian stable and Student's t distributions allowing different marginals to have different tail thickness. After a discussion of relevant estimation and simulation issues, we conduct a backtesting study on a set of portfolios containing derivative instruments, using historical US stock price data.

Date: 2010-05, Revised 2011-12
New Economics Papers: this item is included in nep-ets and nep-rmg
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1005.2862

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