A News-Based Approach for Computing Historical Value-at-Risk

Abstract

Within the field of finance, Value-at-Risk (VaR) is a widely adopted tool to assess portfolio risk. When calculating VaR based on historical stock return data, the data could be sensitive to outliers caused by seldom occurring news events in the sampled period. Using a data set of news events, of which the irregular events are identified using a Poisson… (More)

Topics

3 Figures and Tables

Slides referencing similar topics