Title :
Portfolio VaR Computation Based on O-GARCH
Author :
Chen Rongda ; Lv Yi ; Liu Jianbo
Author_Institution :
Sch. of Finance, Zhejiang Univ. of Finance & Econ., Hangzhou
Abstract :
The key to compute VaR is the covariance matrix of portfolio. However, in the classical multivariate GARCH model large-scale portfolio is highly parameterized and difficult to estimate in practice. So this paper uses O-GARCH model to calculate covariance matrix of portfolio. Then 12 samples of stocks in A stock market of Shanghai and Shenzhen is examined by this model. Finally, we can compute portfolio VaR, component VaR and marginal VaR by the covariance matrix of stocks portfolio.
Keywords :
autoregressive processes; covariance matrices; risk analysis; stock markets; O-GARCH model; component VaR computation; covariance matrix; marginal VaR computation; portfolio VaR computation; stock market; Computational modeling; Computer applications; Covariance matrix; Finance; Investments; Large-scale systems; Portfolios; Reactive power; Risk management; Stock markets;
Conference_Titel :
Modelling, Simulation and Optimization, 2008. WMSO '08. International Workshop on
Conference_Location :
Hong Kong
Print_ISBN :
978-0-7695-3484-8
DOI :
10.1109/WMSO.2008.32
