Among the valuation of market risks, several studies have been performed concerning Value-at-Risk (VaR) analysis. This paper suggest an analysis and asses of Value-at-Risk using the statistic components principal analysis. We have analysed the statistic components principal analysis get described in scientific literature recently applied in finances. This paper studies the use of the components principal analysis applied for to calculate the Value-at-Risk of italian assets. The result of the study is the Value-at-Risk esteem obtained through only two variable that describe all the six variable.

L’analisi empirica del VaR mediante l‘Analisi in componenti principali e l’analisi statistica canonica

BARRACCHINI, CARLA
2006-01-01

Abstract

Among the valuation of market risks, several studies have been performed concerning Value-at-Risk (VaR) analysis. This paper suggest an analysis and asses of Value-at-Risk using the statistic components principal analysis. We have analysed the statistic components principal analysis get described in scientific literature recently applied in finances. This paper studies the use of the components principal analysis applied for to calculate the Value-at-Risk of italian assets. The result of the study is the Value-at-Risk esteem obtained through only two variable that describe all the six variable.
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11697/20071
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