Montag, 22. Januar 2018, 16:45 - 17:45 iCal

ISOR Colloquium

"Estimation risk for the VaR of portfolios driven by semi-parametric multivariate models (joint work with Christian Francq (CREST and Université Lille 3)"

Speaker: Jean-Michel Zakoian (CREST, Paris)

HS 7 (#1.303), 1st floor
Oskar-Morgenstern-Platz 1, 1090 Wien


Joint estimation of market and estimation risks in portfolios is investigated, when the individual returns follow a semi-parametric multivariate dynamic model and the asset composition is time-varying. Under ellipticity of the conditional distribution, asymptotic theory for the estimation of the conditional Value-at-Risk (VaR) is developed. An alternative method - the Filtered Historical Simulation - which does not rely on ellipticity, is also studied. Asymptotic confidence intervals for the conditional VaR, which allow to simultaneously quantify the market and estimation risks, are derived. The particular case of minimum variance portfolios is analyzed in more detail. Potential usefulness, feasibility and drawbacks of the two approaches are illustrated via Monte-Carlo experiments and an empirical study based on stock returns.

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Institut für Statistik und Operations Research


Mag. Vera Lehmwald
Fakultät für Wirtschaftswissenschaften
Institut für Statistik und Operations Research
+43 1 4277 38651