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Sensitivity Analysis of Values at Risk

Christian Gourieroux, J.P. Laurent and Olivier Scaillet ()
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J.P. Laurent: Université de Lyon I, ISFA; CREST

No 2000002, Discussion Papers (IRES - Institut de Recherches Economiques et Sociales) from Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES)

Abstract: The aim of this paper is to analyze the sensitivity of Value at Risk (VaR) with respect to portfolio allocation. We derive analytical expressions for the first and second derivatives of the Value at Risk, and explain how they can be used to simplify statistical inference and to perform a local analysis of the Value at Risk. An empirical illustration of such an analysis is given for an portfolio of French stocks.

Keywords: Value at Risk; risk management; VaR efficient portfolio; iso VaR; kernel estimators; quantile (search for similar items in EconPapers)
JEL-codes: C14 D81 G11 G28 (search for similar items in EconPapers)
Date: 1999-06-01, Revised 2000-01
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http://sites.uclouvain.be/econ/DP/IRES/2000-002.pdf (application/pdf)

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Journal Article: Sensitivity analysis of Values at Risk (2000) Downloads
Working Paper: Sensitivity Analysis of Values at Risk (2000) Downloads
Working Paper: Sensitivity Analysis of Values at Risk (2000) Downloads
Working Paper: Sensitivity analysis of values at risk (2000)
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Persistent link: https://EconPapers.repec.org/RePEc:ctl:louvir:2000002

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