Bayesian Analysis of Value-at-Risk with Product Partition Models

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dc.creatorBormetti, Giacomo
dc.creatorDe Giuli, Maria Elena
dc.creatorDelpini, Danilo
dc.creatorTarantola, Claudia
dc.date2008-09-01
dc.date2009-05-15
dc.date.accessioned2026-07-07T13:14:46Z
dc.date.available2026-07-07T13:14:46Z
dc.descriptionIn this paper we propose a novel Bayesian methodology for Value-at-Risk computation based on parametric Product Partition Models. Value-at-Risk is a standard tool to measure and control the market risk of an asset or a portfolio, and it is also required for regulatory purposes. Its popularity is partly due to the fact that it is an easily understood measure of risk. The use of Product Partition Models allows us to remain in a Normal setting even in presence of outlying points, and to obtain a closed-form expression for Value-at-Risk computation. We present and compare two different scenarios: a product partition structure on the vector of means and a product partition structure on the vector of variances. We apply our methodology to an Italian stock market data set from Mib30. The numerical results clearly show that Product Partition Models can be successfully exploited in order to quantify market risk exposure. The obtained Value-at-Risk estimates are in full agreement with Maximum Likelihood approaches, but our methodology provides richer information about the clustering structure of the data and the presence of outlying points.
dc.description30 pages, 6 figures and 6 tables
dc.identifierhttps://arxiv.org/abs/0809.0241
dc.identifierhttp://arxiv.org/abs/0809.0241
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/230278
dc.subjectRisk Management
dc.subjectPhysics and Society
dc.subjectStatistical Finance
dc.subjectApplications
dc.subjectMethodology
dc.titleBayesian Analysis of Value-at-Risk with Product Partition Models
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