Extreme Events in Finance by Longin Francois;
Author:Longin, Francois; [Longin, Francois]
Language: eng
Format: epub
Publisher: John Wiley & Sons, Incorporated
Published: 2016-08-29T00:00:00+00:00
where
or
where
where and are integers such that and as , where and are trimming proportions with .
12.3.5 Variance–Covariance Method
Suppose the portfolio return, say, , is made up of asset returns, , , as
where are nonnegative weights summing to one. Suppose also E, Var, and Cov. The variance–covariance method suggests that the VaR of can be approximated by
An estimator can be obtained by replacing the parameters , , and by their maximum likelihood estimators.
12.3.6 Gaussian Mixture Distribution
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