Mesure de risque : détection du régime de crise et calcul de la Value-at-Risk

Abstract : Our work aims to study the behavior of financial assets' returns and to measure market risk. Using the hidden Markov model, we classify the data according to the criteria of crisis by detecting the crisis and non-crisis regimes. By adopting the power laws to model the tail of the distribution and by taking into account this classification, we measure the Value-at-Risk (VAR) and we propose a new indicator for portfolio management.
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Master thesis
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http://docnum.univ-lorraine.fr/public/BUS_M_2013_SALHI_KHALED.pdf
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https://hal.univ-lorraine.fr/hal-01859409
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Khaled Salhi. Mesure de risque : détection du régime de crise et calcul de la Value-at-Risk. Mathématiques [math]. 2013. ⟨hal-01859409⟩

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