Scaillet, Olivier: Sensitivity Analysis of Values at Risk
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

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