TY - JOUR
N2 - The s-period ahead Value-at-Risk (VaR) for a portfolio of dimension n is considered and its Bayesian analysis is discussed. The VaR assessment can be based either on the n-variate predictive distribution of future returns on individual assets, or on the univariate Bayesian model for the portfolio value (or the return on portfolio). In both cases Bayesian VaR takes into account parameter uncertainty and non-linear relationship between ordinary and logarithmic returns. In the case of a large portfolio, the applicability of the n-variate approach to Bayesian VaR depends on the form of the statistical model for asset prices. We use the n-variate type I MSF-SBEKK(1,1) volatility model proposed specially to cope with large n. We compare empirical results obtained using this multivariate approach and the much simpler univariate approach based on modelling volatility of the value of a given portfolio.
L1 - http://journals.pan.pl/Content/103815/PDF/mainFile.pdf
L2 - http://journals.pan.pl/Content/103815
PY - 2010
IS - No 4
EP - 253-277
KW - Bayesian econometrics
KW - risk analysis
KW - multivariate GARCH processes
KW - multivariate SV processes
KW - hybrid SV-GARCH models
A1 - Osiewalski, Jacek
A1 - Pajor, Anna
PB - Oddział PAN w Łodzi
SP - 253-277
T1 - Bayesian Value-at-Risk for a Portfolio: Multi- and Univariate Approaches using MSF-SBEKK Models
DA - 31.12.2010
UR - http://journals.pan.pl/dlibra/publication/edition/103815
DOI - 10.24425/cejeme.2010.119331
ER -