[R-SIG-Finance] Framework for VAR allocation among traders

[elton wang]

Brian,
I have a question on your paper:
If you use skewness and kurtosis in the VaR
calculation, you want to make sure:
1. these are exist if the underlying distribution is
non-normal.
2. your sample skewness and kurtosis is good estimates
of true skewness and hurtosis.

In part 5 you discussed the Robust estimation but it
could be stronger argument IMHO. For example, do you
have convergence/sensitivity analysis on estimated
skewness/kurtosis results for your cleaning method? 


Thanks,

E wang
 

--- "Brian G. Peterson" <brian at braverock.com> wrote:

> On Thursday 13 March 2008 22:32:59
> adschai at optonline.net wrote:
> > Hi,I'm looking for VAR allocation framework among
> traders. I saw some
> > papers but none of which (at least that I saw)
> look practical. I am
> > wondering if anyone can hint me some idea or some
> reference? The situation
> > is if at the desk level you were given a certain
> amount of VAR limit, how
> > should one allocate the number among traders?
> THank you.adschai
> 
> Calculate Component VaR.
> 
> The first definition (as far as I know) is in Garman
> in Risk Magazine.  The 
> article may be found here:
> 
> Garman, Mark, "Taking VaR to Pieces (Component
> VaR)," RISK 10, 10, October 
> 1997.
> http://www.fea.com/pdf/componentvar.pdf
> 
> He also has a longer working paper on the topic
> here:
> 
>
http://www.gloriamundi.org/detailpopup.asp?ID=453055537
> 
> We implemented Component VaR for assets with
> non-normal distribution in our 
> recent paper here:
> 
> Boudt, Kris, Peterson, Brian G. and Croux,
> Christophe, "Estimation and 
> Decomposition of Downside Risk for Portfolios With
> Non-Normal Returns" 
> (October 31, 2007).
> http://ssrn.com/abstract=1024151
> 
> All code for our paper was implemented in R, and is
> available.  We will also 
> be cleaning up and documenting the functions in the
> next version of 
> PerformanceAnalytics.
> 
> Regards,
>   
>     - Brian
> 
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