Dynamic Value at Risk Measure of Portfolio
Qifa Xu · Tongji yu xinxi luntan · 2008
VaR measure of portfolio is depended on the joint distribution function of assets.With the size of the portfolio enlarged,it is difficult to calculate the VaR.According to the facts that the ICA method can be used to transform the joint distribution function to probability distribution function,we propose the measure methodology and process for dynamic VaR of portfolio through ICA.The trouble in measuring VaR under the circumstance of multivariate abnormal has been overcome by the methods proposed in the paper.In empirical analysis,compared to the method of EWMA model and MGARCH model,method of ICA can estimate the dynamic VaR of portfolio exactly.