# Small perturbations with large effects on value-at-risk

Manuel L. Esquível; Luís Dimas; João Tiago Mexia; Philippe Didier

Discussiones Mathematicae Probability and Statistics (2013)

- Volume: 33, Issue: 1-2, page 151-169
- ISSN: 1509-9423

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topManuel L. Esquível, et al. "Small perturbations with large effects on value-at-risk." Discussiones Mathematicae Probability and Statistics 33.1-2 (2013): 151-169. <http://eudml.org/doc/271056>.

@article{ManuelL2013,

abstract = {We show that in the delta-normal model there exist perturbations of the Gaussian multivariate distribution of the returns of a portfolio such that the initial marginal distributions of the returns are statistically undistinguishable from the perturbed ones and such that the perturbed V@R is close to the worst possible V@R which, under some reasonable assumptions, is the sum of the V@Rs of each of the portfolio assets.},

author = {Manuel L. Esquível, Luís Dimas, João Tiago Mexia, Philippe Didier},

journal = {Discussiones Mathematicae Probability and Statistics},

keywords = {Gaussian perturbation; value-at-risk; delta-normal model},

language = {eng},

number = {1-2},

pages = {151-169},

title = {Small perturbations with large effects on value-at-risk},

url = {http://eudml.org/doc/271056},

volume = {33},

year = {2013},

}

TY - JOUR

AU - Manuel L. Esquível

AU - Luís Dimas

AU - João Tiago Mexia

AU - Philippe Didier

TI - Small perturbations with large effects on value-at-risk

JO - Discussiones Mathematicae Probability and Statistics

PY - 2013

VL - 33

IS - 1-2

SP - 151

EP - 169

AB - We show that in the delta-normal model there exist perturbations of the Gaussian multivariate distribution of the returns of a portfolio such that the initial marginal distributions of the returns are statistically undistinguishable from the perturbed ones and such that the perturbed V@R is close to the worst possible V@R which, under some reasonable assumptions, is the sum of the V@Rs of each of the portfolio assets.

LA - eng

KW - Gaussian perturbation; value-at-risk; delta-normal model

UR - http://eudml.org/doc/271056

ER -

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