Modelling risk in multi asset-class portfolios
Using a simulation based model, with the Black-Scholes framework for equity and
The LIBOR Market Model for interest rates, we study market risk in multi assetclass
portfolios, with static and dynamic weighting. The risk measures considered
are Value-at-Risk and Expected-Tail-Loss. The theoretical foundation is introduced
and imperfections in the models and their assumptions are pointed out.
The validity of the models and risk measures is tested using a backtesting procedure
against data ranging from September 1999 to September 2009, with particular
emphasis on the turbulent period of 2007 to September 2009. The results indicate
that the models perform slightly worse on the portfolio with the added complexity
of a dynamic weighting regime. No evidence of the models performing less
satisfactory under the latest financial turbulence is found.
Place, publisher, year, edition, pages
Institutt for matematiske fag , 2010. , 73 p.
ntnudaim:5450, MTFYMA fysikk og matematikk, Industriell matematikk
IdentifiersURN: urn:nbn:no:ntnu:diva-14977Local ID: ntnudaim:5450OAI: oai:DiVA.org:ntnu-14977DiVA: diva2:473467
Laading, Jacob, Førsteamanuensis II