World Conference Econometric Society, 2000, Seattle

Christian Gourieroux, CREST and CEPREMAP J. P. Laurent, Universite de Lyon I and CREST Olivier Scaillet, Universite Catholique de Louvain |

Sensitivity Analysis of Values at Risk |

Session: C-6-10 Sunday 13 August 2000 by Scaillet, Olivier |

The aim of this paper is to analyze the sensitivity of Value at Risk (VaR) with respect to portfolio allocation. We derive analytical expressions for the first and second derivatives of the Value at Risk, and explain how they can be used to simplify statistical inference and to perform a local analysis of the Value at Risk. An empirical illustration of such an analysis is given for a portfolio of French stocks. |

Submitted paper full-text in .pdf |

File created by Jurgen Doornik with eswc2000.ox on 2-01-2001