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2005-12-15Diskussionspapier DOI: 10.18452/3926
Portfolio Value at Risk Based on Independent Components Analysis
dc.contributor.authorChen, Ying
dc.contributor.authorHärdle, Wolfgang Karl
dc.contributor.authorSpokoiny, Vladimir
dc.date.accessioned2017-06-15T23:01:50Z
dc.date.available2017-06-15T23:01:50Z
dc.date.created2006-01-04
dc.date.issued2005-12-15
dc.identifier.issn1860-5664
dc.identifier.urihttp://edoc.hu-berlin.de/18452/4578
dc.description.abstractRisk management technology applied to high dimensional portfolios needs simple and fast methods for calculation of Value-at-Risk (VaR). The multivariate normal framework provides a simple off-the-shelf methodology but lacks the heavy tailed distributional properties that are observed in data. A principle component based method (tied closely to the elliptical structure of the distribution) is therefore expected to be unsatisfactory. Here we propose and analyze a technology that is based on Independent Component Analysis (ICA). We study the proposed ICVaR methodology in an extensive simulation study and apply it to a high dimensional portfolio situation. Our analysis yields very accurate VaRs.eng
dc.language.isoeng
dc.publisherHumboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät
dc.rights.urihttp://rightsstatements.org/vocab/InC/1.0/
dc.subjectindependent component analysiseng
dc.subjectValue-at-Riskeng
dc.subject.ddc330 Wirtschaft
dc.titlePortfolio Value at Risk Based on Independent Components Analysis
dc.typeworkingPaper
dc.identifier.urnurn:nbn:de:kobv:11-10055033
dc.identifier.doihttp://dx.doi.org/10.18452/3926
dc.subject.dnb17 Wirtschaft
local.edoc.pages25
local.edoc.type-nameDiskussionspapier
local.edoc.container-typeseries
local.edoc.container-type-nameSchriftenreihe
local.edoc.container-year2005
dc.identifier.zdb2195055-6
bua.series.nameSonderforschungsbereich 649: Ökonomisches Risiko
bua.series.issuenumber2005,60

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