Abstract
The recent trend in estimating Value-at-Risk for modern and increasingly complex portfolios is the introduction of conditional models accounting for the heteroscedasticity of market risk factors. In this work, the introduction of complex methodologies is justified in relation to the dynamical characteristics of portfolios, represented by the concept of entropy.
Volume
3
Page
129-132
Number
2
Year
2007
Categories
New Risk Measures
Publications
Applied Financial Economics Letters