The common fallacy in risk measurement throughout a long investment horizon is to handle only the terminal risk. This pathology affects Value-at-Risk, hence a recent contribution in the literature has proposed the concept of within-horizon risk as a solution to the problem. The quantification of this type of risk leads to the so called MaxVaR measure, but the assumption of Gaussian distributed returns biases this model. This study analyzes the consequences of non-Gaussian returns to the MaxVaR inference. An example of application to long-term risk management is provided.

MaxVaR with non-Gaussian distributed returns

ROSSELLO, ANTONINO DAMIANO
2008-01-01

Abstract

The common fallacy in risk measurement throughout a long investment horizon is to handle only the terminal risk. This pathology affects Value-at-Risk, hence a recent contribution in the literature has proposed the concept of within-horizon risk as a solution to the problem. The quantification of this type of risk leads to the so called MaxVaR measure, but the assumption of Gaussian distributed returns biases this model. This study analyzes the consequences of non-Gaussian returns to the MaxVaR inference. An example of application to long-term risk management is provided.
2008
Risk management, Jump-diffusion model, Inflation factor, Margin account, Monte Carlo simulation
File in questo prodotto:
File Dimensione Formato  
MaxVar.pdf

solo gestori archivio

Tipologia: Versione Editoriale (PDF)
Licenza: Non specificato
Dimensione 212.27 kB
Formato Adobe PDF
212.27 kB Adobe PDF   Visualizza/Apri

I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.

Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/20.500.11769/7588
Citazioni
  • ???jsp.display-item.citation.pmc??? ND
  • Scopus 9
  • ???jsp.display-item.citation.isi??? 9
social impact