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| Author: | Cabedo Semper, J.D. Moya Clemente, I. |
| Title: | Value at risk calculation through ARCH factor methodology: Proposal and comparative analysis |
| Journal: | European Journal of Operational Research
2003 : NOV, VOL. 150:3, p. 516-528 |
| Index terms: | Value-at-risk ARCH models Factor analysis Risk Financial models |
| Language: | eng |
| Abstract: | In this paper the authors put forward a new method to estimate value at risk (VaR), autoregressive conditional heteroskedastic (ARCH) factor, which combines multivariate analysis with ARCH models. The authors implement this methodology using a set of market risk exposed portfolios, and the results obtained are compared with those provided by J.P. Morgan Riskmetrics methodology. |
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