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ArticleOriginal scientific text

Title

Small perturbations with large effects on value-at-risk

Authors 1, 2, 3, 1

Affiliations

  1. Departamento de Matemática FCT/UNL e CMA/FCT/UNL, Quinta da Torre, 2829-516 Caparica, Portugal
  2. Colégio Militar Largo da Luz, 1600-498 Lisboa, Portugal
  3. Centro de Matemática e Aplicações da Universidade Nova de Lisboa (CMA/FCT/UNL), Quinta da Torre, 2829-516 Caparica, Portugal

Abstract

We show that in the delta-normal model there exist perturbations of the Gaussian multivariate distribution of the returns of a portfolio such that the initial marginal distributions of the returns are statistically undistinguishable from the perturbed ones and such that the perturbed V@R is close to the worst possible V@R which, under some reasonable assumptions, is the sum of the V@Rs of each of the portfolio assets.

Keywords

ENG
Gaussian perturbation, value-at-risk, delta-normal model

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Discussiones Mathematicae Probability and Statistics
2013/33/1-2
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Pages:
151-169
Main language of publication
English
Received
2013-08-14
Accepted
2013-11-15
Published
2013

DOI: 10.7151/dmps1148

Exact and natural sciences