Portfolio value-at-risk and expected-shortfall using an efficient simulation approach based on Gaussian mixture model

DOI10.1016/J.MATCOM.2021.05.029OpenAlexW3167802036MaRDI QIDQ2666309

Azin Sharifi, Seyed Mohammad Sina Seyfi, Hamidreza Arian

Publication date: 22 November 2021

Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.matcom.2021.05.029

zbMATH Keywords

Monte Carlo simulationvalue-at-riskrisk managementexpected shortfallGaussian mixture model

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Uses Software

• CAViaR
• Dowd
• RiskMetrics
• PRMLT

Cites Work

• Unnamed Item
• The Pricing of Options and Corporate Liabilities
• Increased correlation among asset classes: are volatility or jumps to blame, or both?
• Non-Linear Value-at-Risk *
• An Intertemporal Capital Asset Pricing Model
• Portfolio Value-at-Risk with Heavy-Tailed Risk Factors
• Measuring the risk of a non-linear portfolio with fat-tailed risk factors through a probability conserving transformation
• Extreme value theory versus traditional GARCH approaches applied to financial data: a comparative evaluation
• Analytical value-at-risk with jumps and credit risk

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