DocumentCode
2441329
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
fYear
2008
fDate
27-28 Dec. 2008
Firstpage
133
Lastpage
138
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;
fLanguage
English
Publisher
ieee
Conference_Titel
Modelling, Simulation and Optimization, 2008. WMSO '08. International Workshop on
Conference_Location
Hong Kong
Print_ISBN
978-0-7695-3484-8
Type
conf
DOI
10.1109/WMSO.2008.32
Filename
4756973
Link To Document