IDEAS home Printed from https://ideas.repec.org/a/wly/apsmbi/v17y2001i1p41-55.html
   My bibliography  Save this article

A simulation environment for discontinuous portfolio value processes

Author

Listed:
  • Giorgio Consigli
  • Antonio Di Cesare

Abstract

We present a simulation‐based approach to the estimation of portfolio's Value‐at‐Risk – VaR—, based on the definition of a jump‐diffusion continuous time process driven by Wiener and Poisson uncertainty. We introduce to this end a novel characterization of the intensity rate of the Poisson process, modelling the arrival of shocks to the market, as a function of a credit spread curve estimated in high‐risk emerging bond markets. The procedure is described and tested on the August 1998 Russian crisis whose impact on liquid equity markets is also estimated. Copyright © 2001 John Wiley & Sons, Ltd.

Suggested Citation

  • Giorgio Consigli & Antonio Di Cesare, 2001. "A simulation environment for discontinuous portfolio value processes," Applied Stochastic Models in Business and Industry, John Wiley & Sons, vol. 17(1), pages 41-55, January.
    • Handle: RePEc:wly:apsmbi:v:17:y:2001:i:1:p:41-55
    DOI: 10.1002/asmb.430
    as

    Download full text from publisher

    File URL: https://doi.org/10.1002/asmb.430
    Download Restriction: no
    File URL: https://libkey.io/10.1002/asmb.430?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Consigli, Giorgio, 2002. "Tail estimation and mean-VaR portfolio selection in markets subject to financial instability," Journal of Banking & Finance, Elsevier, vol. 26(7), pages 1355-1382, July.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:wly:apsmbi:v:17:y:2001:i:1:p:41-55. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Wiley Content Delivery (email available below). General contact details of provider: https://doi.org/10.1002/(ISSN)1526-4025 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.