RISK MANAGEMENT UNDER A FACTOR STOCHASTIC VOLATILITY MODEL

In this paper, we study risk measures and portfolio problems based on a Stochastic Volatility Factor Model (SVFM). We analyze the sensitivity of Value at Risk (VaR) and Expected Shortfall (ES) to the changes in the parameters of the model. We compare the positions of a linear portfolio under assets following a SVFM, a Black–Scholes Model and a model with constant dependence structure. We consider an application to a portfolio of three selected Asian funds.

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Year of publication:	2011
Authors:	ESCOBAR, MARCOS ; OLIVARES, PABLO
Published in:	Asia-Pacific Journal of Operational Research (APJOR). - World Scientific Publishing Co. Pte. Ltd., ISSN 1793-7019. - Vol. 28.2011, 01, p. 65-80
Publisher:	World Scientific Publishing Co. Pte. Ltd.
Subject:	Stochastic correlation \| factor models \| expected shortfall \| value at risk \| portfolio management

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Extent:	application/pdf text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008852559