MULTIVARIATE DECOMPOSITIONS FOR VALUE AT RISK MODELLING

• Authors: Ryszard Szupiluk , Piotr Wojewnik , Tomasz Ząbkowski
• Languages of publication: EN

Abstracts

EN

This paper presents the application of independent component analysis (ICA) for value at risk modelling (VaR). The probabilistic models fitted to hidden components from the time series help to identify the independent factors influencing the portfolio value. An important issue here is the choice of the ICA algorithm, especially taking into account the characteristics of the instruments with respect to higher-order statistics. The proposed ICA-VaR concept has been tested on transactional data of selected stocks listed on Warsaw Stock Exchange.

Keywords

EN

multivariate decompositions; value at risk modelling; independent components analysis

• Publisher: Katedra Ekonometrii i Statystyki, Szkoła Główna Gospodarstwa Wiejskiego w Warszawie
• Journal: Metody Ilościowe w Badaniach Ekonomicznych
• Year: 2013
• Volume: 14
• Issue: 2
• Pages: 240-250

Dates

published

2013

Contributors

author

Ryszard Szupiluk

• Department of Business Informatics, Warsaw School of Economics

author

Piotr Wojewnik

• Department of Business Informatics, Warsaw School of Economics

author

Tomasz Ząbkowski

• Department of Informatics Warsaw University of Life Sciences – SGGW

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