Modelli per il Calcolo del Value at Risk
Modelli per il Calcolo del Value at Risk
Modelli per il Calcolo del Value at Risk
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Σ<br />
M<strong>at</strong>rice Varianze – Covarianze<br />
La m<strong>at</strong>rice di covarianze dei rendimenti è<br />
=<br />
⎡<br />
⎢<br />
⎢<br />
⎢⎣<br />
β<br />
1<br />
...<br />
β<br />
n<br />
⎤<br />
⎥<br />
⎥<br />
⎥⎦<br />
[ β ... β ]<br />
1<br />
Σ<br />
Slides AB <strong>Mo<strong>del</strong>li</strong> <strong>per</strong> <strong>il</strong> calcolo <strong>del</strong> <strong>Value</strong> <strong>at</strong> <strong>Risk</strong><br />
=<br />
ββ<br />
n<br />
σ<br />
′ σ<br />
2<br />
2<br />
m<br />
m +<br />
2n+1 parametri da stimare: n valori <strong>del</strong> vettore β ;<br />
n elementi <strong>del</strong>la m<strong>at</strong>rice D ; la varianza <strong>del</strong>l’indice<br />
+<br />
⎡<br />
⎢<br />
⎢<br />
⎢<br />
⎣<br />
D<br />
σ<br />
2<br />
1<br />
...<br />
0<br />
...<br />
...<br />
...<br />
0<br />
...<br />
σ<br />
2<br />
n<br />
⎤<br />
⎥<br />
⎥<br />
⎥<br />
⎦<br />
42