PT  - JOURNAL ARTICLE
AU  - Cyril Coste
AU  - Raphaël Douady
AU  - Ilija I. Zovko
TI  - The StressVaR: <em>A New Risk Concept for Extreme</em>
               <br/>
               <em>Risk and Fund Allocation</em>
AID  - 10.3905/jai.2011.13.3.010
DP  - 2010 Dec 31
TA  - The Journal of Alternative Investments
PG  - 10--23
VI  - 13
IP  - 3
4099  - https://pm-research.com/content/13/3/10.short
4100  - https://pm-research.com/content/13/3/10.full
AB  - In this article the authors introduce an approach to risk estimation based on nonlinear factor–models—the “StressVaR” (SVaR). Developed to evaluate the risk of hedge funds, the SVaR appears to be applicable to a wide range of investments. The computation of the StressVaR is a three-step procedure whose main component is to use the fairly short and sparse history of the hedge fund returns to identify relevant risk factors among a very broad set of possible risk sources. This risk profile is obtained by calibrating a polymodel, which is a collection of nonlinear single-factor models, as opposed to a single multi-factor model. The authors then use the risk profile and the very long and rich history of the factors to assess the possible impact of known past crises on the funds, unveiling their hidden risks and so called “black swans.”TOPICS: Real assets/alternative investments/private equity, VAR and use of alternative risk measures of trading risk, statistical methods, financial crises and financial market history