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Small perturbations with large effects on value-at-risk

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Esquível M., Dimas L., Mexia J., Didier P.

Discussiones Mathematicae Probability and Statistics

2013

tom 33

nr 1-2

151-169

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.

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1 Discussiones Mathematicae Probability and Statistics

1 Didier P.

1 Dimas L.

1 Esquível M.

1 Mexia J.

1 2013

Wyniki wyszukiwania

Small perturbations with large effects on value-at-risk