Mesure de risques : calcul de la Value-at-Risk et application à la gestion de portefeuilles

Souhail Boukherouaa 1 Nicolas Champagnat 1, 2 Madalina Deaconu 1, 2 Antoine Lejay 1, 2
1 TOSCA - TO Simulate and CAlibrate stochastic models
CRISAM - Inria Sophia Antipolis - Méditerranée , IECL - Institut Élie Cartan de Lorraine : UMR7502
Abstract : Our work aims to study the behavior of financial assets' returns and to measure the market risk. In order to model the tail of the distribution of assets' returns, we use power laws, which reveal more efficient than normal distributions and, most often, than stable laws. Using statistical tools adapted to power laws, we measure the Value-at-Risk (VaR) and we propose a new indicator for portfolio management.
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https://hal.inria.fr/hal-00780460
Contributor : Antoine Lejay <>
Submitted on : Thursday, January 24, 2013 - 9:04:44 AM
Last modification on : Wednesday, October 17, 2018 - 11:40:10 AM

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Souhail Boukherouaa, Nicolas Champagnat, Madalina Deaconu, Antoine Lejay. Mesure de risques : calcul de la Value-at-Risk et application à la gestion de portefeuilles. [Contrat] non spécifié. 2013, pp.77. 〈hal-00780460〉

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