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ANOR
2010

Stochastic models for risk estimation in volatile markets: a survey

13 years 11 months ago
Stochastic models for risk estimation in volatile markets: a survey
Abstract The problem of portfolio risk estimation in volatile markets requires employing fat-tailed models for financial instrument returns combined with copula functions to capture asymmetries in dependence and a true downside risk measure for risk estimation. In this survey, we discuss how these three essential components can be combined together in a Monte Carlo based framework for risk estimation and risk budgeting with the average value-at-risk measure (AVaR). We consider in detail the questions of AVaR calculation and estimation and also stochastic stability of AVaR when combined with heavy-tailed scenarios. Keywords fat-tailed distributions
Stoyan V. Stoyanov, Borjana Racheva-Iotova, Svetlo
Added 08 Dec 2010
Updated 08 Dec 2010
Type Journal
Year 2010
Where ANOR
Authors Stoyan V. Stoyanov, Borjana Racheva-Iotova, Svetlozar T. Rachev, Frank J. Fabozzi
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