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| HAL : halshs-00375765, version 1 |
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| Frontiers in finance and economics 6, 1 (2009) 26-50 |
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| Forecasting VaR and Expected Shortfall using Dynamical Systems: A Risk Management Strategy |
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| Cyril Caillault 1Dominique Guegan 2, 3 |
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| (2009-04) |
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| Using non-parametric and parametric models, we show that the bivariate distribution of an Asian portfolio is not stable along all the period under study. We suggest several dynamic models to compute two market risk measures, the Value at Risk and the Expected Shortfall: the RiskMetrics methodology, the Multivariate GARCH models, the Multivariate Markov-Switching models, the empirical histogram and the dynamic copulas. We discuss the choice of the best method with respect to the policy management of bank supervisors. The copula approach seems to be a good compromise between all these models. It permits taking financial crises into account and obtaining a low capital requirement during the most important crises. |
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| 1 : | Fortis Investments |
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Fortis investments |
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| 2 : | Centre d'économie de la Sorbonne (CES) |
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CNRS : UMR8174 – Université Paris I - Panthéon Sorbonne |
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| 3 : | Ecole d'Économie de Paris - Paris School of Economics (EEP-PSE) |
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Ecole d'Économie de Paris |
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| Finance |
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| Discipline | : | Humanities and Social Sciences/Economy and finances Mathematics/Probability Mathematics/Statistics Statistics/Statistics Theory |
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| Value at Risk – Expected Shortfall – Copulas – Risk management – GARCH models – Markov switching models |
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| Liste des fichiers attachés à ce document : | |||||
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| halshs-00375765, version 1 | |
| http://halshs.archives-ouvertes.fr/halshs-00375765 | |
| oai:halshs.archives-ouvertes.fr:halshs-00375765 | |
| Contributeur : Dominique Guegan | |
| Submitted on : Thursday, 16 April 2009 09:38:54 | |
| Updated on : Wednesday, 17 June 2009 17:16:54 | |
