Title: Mod�lisation de la Value at Risk: une �valuation du mod�le RISKMETRICS: D�veloppements r�cents de l'approche analytique (Omn.Univ.Europ.) (French Edition)
Publisher: Editions universitaires europeennes
Publication Date: 2010
Language: French
ISBN 10: 6131536104
ISBN 13: 9786131536106
Binding: Soft cover
Condition: New

About this title

Synopsis

Il existe de nombreuses techniques de mod�lisations de la Value at risk utilis�es par les organismes financiers, mais l'approche analytique RISKMETRICS, est en partie � l'origine du d�veloppement de cette mesure. Dans cet ouvrage, nous proc�dons � une �valuation du mod�le RISKMETRICS.Ses limites nous conduisent � proposer, dans un premier temps, une m�thodologie RISKMETRICS sp�cifique � chaque s�rie. Nous montrons la non-robustesse de ces constructions et la n�cessit� de recourir � des �quations o� la constante de lissage varie au cours du temps. Une analyse plus approfondie de la structure des actifs nous permet, dans un deuxi�me temps, d'envisager des mod�les h�t�rosc�dastiques saisonniers qui prennent en compte les sp�cificit�s de chaque s�rie. Nous les comparons au benchmark RISKMETRICS en recourant aux crit�res statistiques usuels et aux mesures de validation recommand�es par les instances de r�glementation. Nous montrons leur sup�riorit� dans certaines circonstances (selon la probabilit� d'estimation de la VaR et la position longue ou courte de l'investisseur).

About the Author

Virginie TERRAZA est assistant professeur en �conomie � l'universit� du Luxembourg et chercheur au LAMETA de l'universit� de Montpellier I. Ses travaux de recherche concernent la mod�lisation, la gestion du risque et la construction d'indices financiers. Ses domaines d'application sont notamment le march� des fonds d'investissement.

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