出版社：LLC “Consulting Publishing Company “Business Perspectives”
摘要：This paper proposes several parametric models to compute the portfolio VaR and CVaR in a given temporal horizon and for a given level of confidence.Firstly,we describe extension of the EWMA RiskMetrics model considering conditional elliptically distributed returns.Secondly, we examine several new models based on different stable Paretian distributional hypotheses of return portfolios.Finally,we discuss the applicability of temporal aggregation rules for each VaR and CVaR model proposed.
关键词：Elliptical distributions;domain of attraction;stable distribution;time aggregation rules.
