This paper illustrates a procedure for classifying financial assets on the basis of their risk profile taking into account their risk level, measured in terms of Value at Risk, as well as an approximate measure of risk variability. Returns on each asset are modelled as regime GARCH models with a flexible error distribution. Risk variability is then proxied by the distance between the risk values associated to each model regime. Finally, the results of an application to the full set of S&P 100 stocks are presented.
Classification of Financial Assets on the Basis of their Risk Profile
NIGLIO, Marcella;STORTI, Giuseppe;VITALE, Cosimo Damiano
2011-01-01
Abstract
This paper illustrates a procedure for classifying financial assets on the basis of their risk profile taking into account their risk level, measured in terms of Value at Risk, as well as an approximate measure of risk variability. Returns on each asset are modelled as regime GARCH models with a flexible error distribution. Risk variability is then proxied by the distance between the risk values associated to each model regime. Finally, the results of an application to the full set of S&P 100 stocks are presented.File in questo prodotto:
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