Hendries, Eric
[Author]
;
Huang, Jun
[Other];
Li, Rachel
[Other];
Li, Xiao
[Other];
Qi, Yiyang
[Other];
Sajer, Helene
[Other];
Taylor, Stephen Michael
[Other];
Zerolis, John
[Other]
Bayesian Value at Risk Metrics for Equity Portfolios
Footnote:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments September 1, 2014 erstellt
Description:
We develop a Bayesian framework for estimating high quantiles of the relative return loss distribution of equity portfolios. This framework allows for the incorporation of both quantitative data via a parametric model for the loss distribution as well as qualitative information, specified independent of the data, by the choice of a prior distribution over the model parameters. We apply these methods in the case of one and two dimensional models to estimate distribution parameters and associated error bounds from which 99% VaR values are estimated. Finally, we systematically apply our framework to four test portfolios, compute summary statistics related to model performance, and report the results