A news event-driven approach for the historical value at risk method
作者：
Highlights：
• Historical Value-at-Risk (VaR) calculation is often used for assessing portfolio risk.
• Rare news events cause stock price trend deviations, thwarting VaR predictions.
• We measure the effects of various news events on stock prices.
• VaR predictions are improved by cleaning trend disruptions using news events.
摘要
•Historical Value-at-Risk (VaR) calculation is often used for assessing portfolio risk.•Rare news events cause stock price trend deviations, thwarting VaR predictions.•We measure the effects of various news events on stock prices.•VaR predictions are improved by cleaning trend disruptions using news events.
论文关键词：Value at Risk,News events,Historical method
论文评审过程：Available online 13 February 2015.
论文官网地址：https://doi.org/10.1016/j.eswa.2015.02.002
