Confidence intervals for multivariate value at risk
Confidence intervals for the y-quantile of a linear combination of N non-normal variates with a linear dependence structure would be useful to the financial institutions as the intervals enable the accuracy of the value at risk (VaR) of a portfolio of investments to be quantified. Presently, we con...
| Main Authors: | , |
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| Format: | Conference or Workshop Item |
| Language: | English |
| Published: |
2012
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| Online Access: | http://eprints.sunway.edu.my/201/ http://eprints.sunway.edu.my/201/1/Pooi%20Ah%20Hin%20-%20Confidence%20Intervals%20for%20Multivariate%20Value%20at%20Risk.pdf |
| _version_ | 1848801770145316864 |
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| author | Goh, Y. L. Pooi, Ah Hin * |
| author_facet | Goh, Y. L. Pooi, Ah Hin * |
| author_sort | Goh, Y. L. |
| building | SU Institutional Repository |
| collection | Online Access |
| description | Confidence intervals for the y-quantile of a linear
combination of N non-normal variates with a linear dependence structure would be useful to the financial institutions as the intervals enable the accuracy of the value at risk (VaR) of a portfolio of investments to be quantified. Presently, we construct 100(1-α) % confidence intervals for the y-quantile using the procedures based on bootstrap, normal approximation and hypothesis testing. We show that the method based on hypothesis testing produces confidence interval which is more satisfactory than
those found by using bootstrap or normal approximation. |
| first_indexed | 2025-11-14T21:12:44Z |
| format | Conference or Workshop Item |
| id | sunway-201 |
| institution | Sunway University |
| institution_category | Local University |
| language | English |
| last_indexed | 2025-11-14T21:12:44Z |
| publishDate | 2012 |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | sunway-2012019-07-03T08:38:03Z http://eprints.sunway.edu.my/201/ Confidence intervals for multivariate value at risk Goh, Y. L. Pooi, Ah Hin * QA Mathematics Confidence intervals for the y-quantile of a linear combination of N non-normal variates with a linear dependence structure would be useful to the financial institutions as the intervals enable the accuracy of the value at risk (VaR) of a portfolio of investments to be quantified. Presently, we construct 100(1-α) % confidence intervals for the y-quantile using the procedures based on bootstrap, normal approximation and hypothesis testing. We show that the method based on hypothesis testing produces confidence interval which is more satisfactory than those found by using bootstrap or normal approximation. 2012 Conference or Workshop Item PeerReviewed text en http://eprints.sunway.edu.my/201/1/Pooi%20Ah%20Hin%20-%20Confidence%20Intervals%20for%20Multivariate%20Value%20at%20Risk.pdf Goh, Y. L. and Pooi, Ah Hin * (2012) Confidence intervals for multivariate value at risk. In: International Conference on Computer Engineering & Mathematical Sciences, 27 Aug 2012, Kuala Lumpur. |
| spellingShingle | QA Mathematics Goh, Y. L. Pooi, Ah Hin * Confidence intervals for multivariate value at risk |
| title | Confidence intervals for multivariate value at risk |
| title_full | Confidence intervals for multivariate value at risk |
| title_fullStr | Confidence intervals for multivariate value at risk |
| title_full_unstemmed | Confidence intervals for multivariate value at risk |
| title_short | Confidence intervals for multivariate value at risk |
| title_sort | confidence intervals for multivariate value at risk |
| topic | QA Mathematics |
| url | http://eprints.sunway.edu.my/201/ http://eprints.sunway.edu.my/201/1/Pooi%20Ah%20Hin%20-%20Confidence%20Intervals%20for%20Multivariate%20Value%20at%20Risk.pdf |