Local Likelihood Density Estimation and Value-at-Risk

Local Likelihood Density Estimation and Value-at-Risk

This paper presents a new nonparametric method for computing the conditional Value-at-Risk, based on a local approximation of the conditional density function in a neighborhood of a predetermined extreme value for univariate and multivariate series of portfolio returns. For illustration, the method...

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Main Authors: Christian Gourieroux, Joann Jasiak
Format: Article
Language:English
Published: Hindawi Limited 2010-01-01
Series:Journal of Probability and Statistics
Online Access:http://dx.doi.org/10.1155/2010/754851
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spelling doaj-6a597f5cf6494b7e98c2cf310a58ae8f2020-11-24T21:39:29ZengHindawi LimitedJournal of Probability and Statistics1687-952X1687-95382010-01-01201010.1155/2010/754851754851Local Likelihood Density Estimation and Value-at-RiskChristian Gourieroux0Joann Jasiak1CREST and University of Toronto, CanadaYork University, CanadaThis paper presents a new nonparametric method for computing the conditional Value-at-Risk, based on a local approximation of the conditional density function in a neighborhood of a predetermined extreme value for univariate and multivariate series of portfolio returns. For illustration, the method is applied to intraday VaR estimation on portfolios of two stocks traded on the Toronto Stock Exchange. The performance of the new VaR computation method is compared to the historical simulation, variance-covariance, and J. P. Morgan methods.http://dx.doi.org/10.1155/2010/754851
collection DOAJ
language English
format Article
sources DOAJ
author Christian Gourieroux
Joann Jasiak
spellingShingle Christian Gourieroux
Joann Jasiak
Local Likelihood Density Estimation and Value-at-Risk
Journal of Probability and Statistics
author_facet Christian Gourieroux
Joann Jasiak
author_sort Christian Gourieroux
title Local Likelihood Density Estimation and Value-at-Risk
title_short Local Likelihood Density Estimation and Value-at-Risk
title_full Local Likelihood Density Estimation and Value-at-Risk
title_fullStr Local Likelihood Density Estimation and Value-at-Risk
title_full_unstemmed Local Likelihood Density Estimation and Value-at-Risk
title_sort local likelihood density estimation and value-at-risk
publisher Hindawi Limited
series Journal of Probability and Statistics
issn 1687-952X
1687-9538
publishDate 2010-01-01
description This paper presents a new nonparametric method for computing the conditional Value-at-Risk, based on a local approximation of the conditional density function in a neighborhood of a predetermined extreme value for univariate and multivariate series of portfolio returns. For illustration, the method is applied to intraday VaR estimation on portfolios of two stocks traded on the Toronto Stock Exchange. The performance of the new VaR computation method is compared to the historical simulation, variance-covariance, and J. P. Morgan methods.
url http://dx.doi.org/10.1155/2010/754851
work_keys_str_mv AT christiangourieroux locallikelihooddensityestimationandvalueatrisk
AT joannjasiak locallikelihooddensityestimationandvalueatrisk
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