| Reference : Investment fund performance validation - Vine copulae estimation using a minimum span... |
| Scientific congresses, symposiums and conference proceedings : Unpublished conference | |||
| Business & economic sciences : Finance | |||
| Computational Sciences | |||
| http://hdl.handle.net/10993/39656 | |||
| Investment fund performance validation - Vine copulae estimation using a minimum spanning tree | |
| English | |
Petijean, Simon  [University of Luxembourg > Faculty of Law, Economics and Finance (FDEF) > Luxembourg School of Finance (LSF) > > LSF > > PhD student] | |
| Schiltz, Jang [University of Luxembourg > Faculty of Law, Economics and Finance (FDEF) > Luxembourg School of Finance (LSF) >] | |
| 3-Jun-2019 | |
| No | |
| Yes | |
| International | |
| 51es Journées de Statistique | |
| from 3-6-2019 to 7-6-2019 | |
| Société française de Statistique | |
| Nancy | |
| France | |
| [en] Minimum spanning tree ; Vine copulas ; financial econometrics | |
| [en] Catching the dependencies between financial time series is a complex exer-
cise with a lot of challenges, both of theoretical and practical nature. We develop a metho- dology to model portfolio dynamics using the minimum spanning tree methods combined with econometric models which solves a good part of these challenges. We use a tracking error that is equivalent to the Euclidean distance, to cluster the closest market indices. Financial risk is difficult to manage, because risk is evolving constantly and depends on very different factors like volatility, liquidity, asset class etc. To capture this evolution we develop a recursive portfolio validation method that reveals the true nature of the evolution of the risk structure of financial portfolios. We investigate several portfolio strategies to understand the dynamics behind the holdings. We thus validate the results of our portfolio analysis. We use a vine copula construction, which allows us to separate the marginal estimation from the dependence estimation and calibrate the underlying dynamics very precisely. The minimum spanning tree method helps us to create a robust tree foundation to support the entire vine structure. Starting from a portfolio analysis, we are thus able to validate the portfolio valuation over a specific period of time. | |
| Researchers | |
| http://hdl.handle.net/10993/39656 |
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