Sensitivity Analysis of Values at Risk

By Christian Gouriéroux, Jean Paul Laurent, Olivier Scaillet. 2000

410 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/a0bea44185f34570e268577f6bfb07f9994acfbf

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Citations in the corpus

Nonparametric Estimation of Copulas for Time Series (2002, background): “Again the asymptotic covariance matrix §¤ of this random vector admits a rather complex explicit form (see Equation (13) in the appendix).”
Risk contributions and performance measurement (2000, background): “12) has been presented in [13] without examinat io of the question whether Qα is differentiable and in [12] for the case of (X1; : : : ;Xd) with a joint density.”
Robust Value at Risk Prediction (2007, neutral): “3See for instance Gouriéroux, Laurent, and Scaillet (2000) for a general discussion on conditional VaR, and Aı̈t-Sahalia and Lo (2000) for an economic interpretation of VaR in a general equilibrium model.”
Estimation and Decomposition of Downside Risk for Portfolios with Non-Normal Returns (2008, background): “Gouriéroux et al. (2000) and Qian (2006), however, show that for VaR, this mathematical decomposition of portfolio risk has a financial meaning.”
Risk Capital allocation by coherent risk measures based on one-sided moments (2003, neutral): “EQ[X] | {z } (X) ess.supf Xg | {z } ( 8 ) expected loss maximum loss”
MODELING AND FORECASTING REALIZED VOLATILITY (2003, neutral): “Measuring and forecasting portfolio Value-at-Risk, or VaR, and fluctuations in VaR due to changing market conditions and/or portfolio shares, is an important part of modern financial risk management; see, e.g., Gourieroux, Laurent, and Scaillet (2000) .40 Our results suggest that accurate return de”
Nonparametric Inference of Value-at-Risk for Dependent Financial Returns (2005, methodology): “Comprehensive discussions on VaR are available in Duffie and Pan (1997) and Jorion (2001), and references therein.”
Conditional Expectation as Quantile Derivative (2001, background): “The primary intention with the present paper is to give a sufficient condition as general as possible on the underlying distribution for the formulae in [9] and [8]) to remain valid.”
Expected shortfall and beyond (2002, methodology): “The question of how to compute the partial derivatives in case ρ = VaRα was independently tackled by several authors (Gouriéroux et al., 2000; Hallerbach, 1999; Lemus, 1999; Tasche, 1999).”