Une modélisation séquentielle de la VaR
Alain Monfort
Working papers from Banque de France
Abstract:
We consider the VaR associated with the global loss generated by a set risk sources. We propose a sequence of simple models incorporating progressively the notions of contagion due to instantaneous correlations, of serial correlation, of evolution of the instantaneous correlations, of volatility clustering, of conditional heteroskedasticity and of persistency of shocks. The tools used are the standard and extended Kalman filters.
Keywords: VaR; factor models; correlation; volatility clustering; Kalman filter. (search for similar items in EconPapers)
JEL-codes: C10 G11 (search for similar items in EconPapers)
Pages: 37 pages
Date: 2009
New Economics Papers: this item is included in nep-bec, nep-cba, nep-ecm and nep-rmg
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Citations: View citations in EconPapers (1)
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Persistent link: https://EconPapers.repec.org/RePEc:bfr:banfra:250
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