Elements of information theory
Elements of information theory
A Saddle Point Approximation for Certain Multivariate Tail Probabilities
SIAM Journal on Scientific Computing
Independent component analysis: algorithms and applications
Neural Networks
Fast and robust fixed-point algorithms for independent component analysis
IEEE Transactions on Neural Networks
Deflation-based separation of uncorrelated stationary time series
Journal of Multivariate Analysis
Hi-index | 7.30 |
Risk management technology applied to high-dimensional portfolios needs simple and fast methods for calculation of value at risk (VaR). The multivariate normal framework provides a simple off-the-shelf methodology but lacks the heavy-tailed distributional properties that are observed in data. A principle component-based method (tied closely to the elliptical structure of the distribution) is therefore expected to be unsatisfactory. Here, we propose and analyze a technology that is based on independent component analysis (ICA). We study the proposed ICVaR methodology in an extensive simulation study and apply it to a high-dimensional portfolio situation. Our analysis yields very accurate VaRs.