![](/images/graphics-bg.png)
Local Likelihood Density Estimation and Value-at-Risk
Joint Authors
Jasiak, Joann
Gourieroux, Christian
Source
Journal of Probability and Statistics
Issue
Vol. 2010, Issue 2010 (31 Dec. 2010), pp.1-26, 26 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2010-06-20
Country of Publication
Egypt
No. of Pages
26
Main Subjects
Abstract EN
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.
American Psychological Association (APA)
Gourieroux, Christian& Jasiak, Joann. 2010. Local Likelihood Density Estimation and Value-at-Risk. Journal of Probability and Statistics،Vol. 2010, no. 2010, pp.1-26.
https://search.emarefa.net/detail/BIM-496192
Modern Language Association (MLA)
Gourieroux, Christian& Jasiak, Joann. Local Likelihood Density Estimation and Value-at-Risk. Journal of Probability and Statistics No. 2010 (2010), pp.1-26.
https://search.emarefa.net/detail/BIM-496192
American Medical Association (AMA)
Gourieroux, Christian& Jasiak, Joann. Local Likelihood Density Estimation and Value-at-Risk. Journal of Probability and Statistics. 2010. Vol. 2010, no. 2010, pp.1-26.
https://search.emarefa.net/detail/BIM-496192
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-496192