Preprint

A multivariate FGD technique to improve VaR computation in equity markets

  • Audrino, Francesco Istituto di finanza (IFin), Facoltà di scienze economiche, Università della Svizzera italiana, Svizzera
  • Barone-Adesi, Giovanni Istituto di finanza (IFin), Facoltà di scienze economiche, Università della Svizzera italiana, Svizzera
    2002

29 p

English We present a multivariate, non-parametric technique for constructing reliable daily VaR predictions for individual assets belonging to a common equity market segment, which takes also into account the possible dependence structure between the assets and is still computationally feasible in large dimensions. The procedure is based on functional gradient descent (FGD) estimation for the... Show more…
Language
  • English
Classification
Economics
License
License undefined
Identifiers
  • RERO DOC 5229
Persistent URL
https://susi.usi.ch/usi/documents/317948