Centro de Documentacion de Fundación MAPFRE - Next generation models for portfolio risk management : An approach using financial big data

MAP20220023504

Next generation models for portfolio risk management : An approach using financial big data / Kwangmin Jung,Donggyu Kim,Seunghyeon Yu

Sumario: This paper proposes a dynamic process of portfolio risk measurement to address potential information loss. The proposed model takes advantage of financial big data to incorporate out-of-target-portfolio information that may be missed when one considers the value at risk (VaR) measures only from certain assets of the portfolio. We investigate how the curse of dimensionality can be overcome in the use of financial big data and discuss where and when benefits occur from a large number of assets. In this regard, the proposed approach is the first to suggest the use of financial big data to improve the accuracy of risk analysis. We compare the proposed model with benchmark approaches and empirically show that the use of financial big data improves small portfolio risk analysis. Our findings are useful for portfolio managers and financial regulators, who may seek for an innovation to improve the accuracy of portfolio risk estimation.

En: The Journal of risk and insurance. - Nueva York : The American Risk and Insurance Association, 1964- = ISSN 0022-4367. - 05/09/2022 Volumen 89 Número 3 - septiembre 2022 , p. 765-787

1. Gerencia de riesgos . 2. Gestión de activos . I. Título.