In this paper we present two dierent Value at Risk models which assume a general multivariate GARCH structure for the asset returns. The need of imposing a restriction in order to reduce the parametric space of the model to be estimated is achieved by means of a Principal-Component analisys. The purpose of the paper is twofold. First, to use a recently developed econometric methodology to identify the hidden factors of the time-varying variance-covariance matrix of asset returns. Second, to apply this method to a fixed income medium size portfolio for risk management aims.

Managing the Risk Side of a Medium Size Portfolio Showing GARCH Effects

CASTAGNETTI, CAROLINA
2000-01-01

Abstract

In this paper we present two dierent Value at Risk models which assume a general multivariate GARCH structure for the asset returns. The need of imposing a restriction in order to reduce the parametric space of the model to be estimated is achieved by means of a Principal-Component analisys. The purpose of the paper is twofold. First, to use a recently developed econometric methodology to identify the hidden factors of the time-varying variance-covariance matrix of asset returns. Second, to apply this method to a fixed income medium size portfolio for risk management aims.
2000
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11571/141787
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