Title of article :
Asymptotic behavior of tails and quantiles of quadratic forms of Gaussian vectors
Author/Authors :
Jaschke، نويسنده , , Stefan and Klüppelberg، نويسنده , , Claudia and Lindner، نويسنده , , Alexander، نويسنده ,
Issue Information :
دوفصلنامه با شماره پیاپی سال 2004
Abstract :
We derive results on the asymptotic behavior of tails and quantiles of quadratic forms of Gaussian vectors. They appear in particular in delta–gamma models in financial risk management approximating portfolio returns. Quantile estimation corresponds to the estimation of the Value-at-Risk, which is a serious problem in high dimension.
Keywords :
Quadratic forms of Gaussian vectors , Tail behavior , Delta–gamma method , Value-at-Risk , Quantile estimation
Journal title :
Journal of Multivariate Analysis
Journal title :
Journal of Multivariate Analysis