Sensitivity Analysis of Values at Risk.

The aim of this paper is to analyze the sensitivity of Value at Risk (VaR) with respect to portfolio allocation. We derive analytical expresssions for the first and second derivatives of the Value at Risk, and explain how they can be used to simplify statistical inference and to perform a loval analysis of the Value at Risk. An empirical illustration of such an analysis is given for a portfolio of French Stocks.

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Year of publication:	2000
Authors:	Gourieroux, C. ; Laurent, J.P. ; Scaillet, O.
Subject:	RISK \| MANAGEMENT \| FINANCIAL MARKET

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Type of publication:	Book / Working Paper
Notes:	32 pages
Classification:	C14 - Semiparametric and Nonparametric Methods ; D81 - Criteria for Decision-Making under Risk and Uncertainty ; G11 - Portfolio Choice ; G28 - Government Policy and Regulation
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005486768