{"created":"2023-05-15T15:26:51.978924+00:00","id":15040,"links":{},"metadata":{"_buckets":{"deposit":"5f57ba72-2e3d-4efb-a73b-49b4cadccadd"},"_deposit":{"created_by":15,"id":"15040","owners":[15],"pid":{"revision_id":0,"type":"depid","value":"15040"},"status":"published"},"_oai":{"id":"oai:sucra.repo.nii.ac.jp:00015040","sets":["85:359"]},"author_link":["25271"],"item_120_biblio_info_8":{"attribute_name":"書誌情報","attribute_value_mlt":[{"bibliographicIssueDates":{"bibliographicIssueDate":"2017-03","bibliographicIssueDateType":"Issued"},"bibliographicIssueNumber":"14","bibliographicPageEnd":"17","bibliographicPageStart":"1","bibliographic_titles":[{"bibliographic_title":"Working Paper Series","bibliographic_titleLang":"en"}]}]},"item_120_date_31":{"attribute_name":"作成日","attribute_value_mlt":[{"subitem_date_issued_datetime":"2017-04-11","subitem_date_issued_type":"Created"}]},"item_120_description_19":{"attribute_name":"概要","attribute_value_mlt":[{"subitem_description":"We consider the Value at Risk (VaR) of a portfolio under stressed conditions. In practice, the stressed VaR (sVaR) is commonly calculated using the data set that includes the stressed period. It tells us how much the risk amount increases if we use the stressed data set.\nIn this paper, we consider the VaR under stress scenarios. Technically, this can be done by deriving the distribution of profit or loss conditioned on the value of risk factors. We use two methods; the one that uses the linear model and the one that uses the Hermite expansion discussed by Marumo and Wolff(2013, 2016). Numerical examples shows that the method using the Hermite expansion is capable of capturing the non-linear effects such as correlation collapse and volatility clustering, which are often observed in the markets.","subitem_description_language":"en","subitem_description_type":"Other"}]},"item_120_description_29":{"attribute_name":"資源タイプ","attribute_value_mlt":[{"subitem_description":"text","subitem_description_type":"Other"}]},"item_120_description_30":{"attribute_name":"フォーマット","attribute_value_mlt":[{"subitem_description":"application/pdf","subitem_description_type":"Other"}]},"item_120_identifier_registration":{"attribute_name":"ID登録","attribute_value_mlt":[{"subitem_identifier_reg_text":"10.24561/00015034","subitem_identifier_reg_type":"JaLC"}]},"item_120_publisher_11":{"attribute_name":"出版者名","attribute_value_mlt":[{"subitem_publisher":"埼玉大学経済学部","subitem_publisher_language":"ja"}]},"item_120_publisher_12":{"attribute_name":"出版者名（別言語）","attribute_value_mlt":[{"subitem_publisher":"Faculty of Economics. Saitama University","subitem_publisher_language":"en"}]},"item_120_source_id_14":{"attribute_name":"収録物識別子","attribute_value_mlt":[{"subitem_source_identifier":"21868611","subitem_source_identifier_type":"ISSN"},{"subitem_source_identifier":"AA12600124","subitem_source_identifier_type":"NCID"}]},"item_120_text_27":{"attribute_name":"版","attribute_value_mlt":[{"subitem_text_value":"[出版社版]"}]},"item_120_text_3":{"attribute_name":"著者 ローマ字","attribute_value_mlt":[{"subitem_text_language":"en","subitem_text_value":"MARUMO, Kohei"}]},"item_120_text_32":{"attribute_name":"アイテムID","attribute_value_mlt":[{"subitem_text_value":"KY-21868611-14-01"}]},"item_120_text_4":{"attribute_name":"著者 所属","attribute_value_mlt":[{"subitem_text_language":"ja","subitem_text_value":"埼玉大学経済学部"}]},"item_120_text_5":{"attribute_name":"著者 所属(別言語)","attribute_value_mlt":[{"subitem_text_language":"en","subitem_text_value":"Faculty of Economics, Saitama University"}]},"item_120_text_9":{"attribute_name":"年月次","attribute_value_mlt":[{"subitem_text_value":"2017-3"}]},"item_120_version_type_28":{"attribute_name":"出版タイプ","attribute_value_mlt":[{"subitem_version_resource":"http://purl.org/coar/version/c_970fb48d4fbd8a85","subitem_version_type":"VoR"}]},"item_creator":{"attribute_name":"著者","attribute_type":"creator","attribute_value_mlt":[{"creatorNames":[{"creatorName":"丸茂, 幸平","creatorNameLang":"ja"},{"creatorName":"マルモ, コウヘイ","creatorNameLang":"ja-Kana"}],"nameIdentifiers":[{"nameIdentifier":"25271","nameIdentifierScheme":"WEKO"},{"nameIdentifier":"FKUeFSBx","nameIdentifierScheme":"研究者総覧","nameIdentifierURI":"http://s-read.saitama-u.ac.jp/researchers/pages/researcher/FKUeFSBx"}]}]},"item_files":{"attribute_name":"ファイル情報","attribute_type":"file","attribute_value_mlt":[{"accessrole":"open_date","date":[{"dateType":"Available","dateValue":"2018-01-24"}],"displaytype":"detail","filename":"KY-21868611-14-01.pdf","filesize":[{"value":"380.2 kB"}],"format":"application/pdf","licensetype":"license_note","mimetype":"application/pdf","url":{"label":"KY-21868611-14-01.pdf","objectType":"fulltext","url":"https://sucra.repo.nii.ac.jp/record/15040/files/KY-21868611-14-01.pdf"},"version_id":"7352fffb-cb7c-4a2d-9a0c-678e596908bd"}]},"item_keyword":{"attribute_name":"キーワード","attribute_value_mlt":[{"subitem_subject":"Conditional distribution","subitem_subject_language":"en","subitem_subject_scheme":"Other"},{"subitem_subject":"Hermite expansion","subitem_subject_language":"en","subitem_subject_scheme":"Other"},{"subitem_subject":"Linear model","subitem_subject_language":"en","subitem_subject_scheme":"Other"},{"subitem_subject":"Non-linear effect","subitem_subject_language":"en","subitem_subject_scheme":"Other"}]},"item_language":{"attribute_name":"言語","attribute_value_mlt":[{"subitem_language":"eng"}]},"item_resource_type":{"attribute_name":"資源タイプ","attribute_value_mlt":[{"resourcetype":"departmental bulletin paper","resourceuri":"http://purl.org/coar/resource_type/c_6501"}]},"item_title":"A Non-parametric Method for Calculating Conditional Stressed Value at Risk","item_titles":{"attribute_name":"タイトル","attribute_value_mlt":[{"subitem_title":"A Non-parametric Method for Calculating Conditional Stressed Value at Risk","subitem_title_language":"en"}]},"item_type_id":"120","owner":"15","path":["359"],"pubdate":{"attribute_name":"PubDate","attribute_value":"2017-04-11"},"publish_date":"2017-04-11","publish_status":"0","recid":"15040","relation_version_is_last":true,"title":["A Non-parametric Method for Calculating Conditional Stressed Value at Risk"],"weko_creator_id":"15","weko_shared_id":-1},"updated":"2023-09-08T06:09:29.119736+00:00"}