Università degli Studi Roma Tre and Symphonia SGR
Stefano Colucci graduated in Economics from the University of L'Aquila, and in Statistics from the University of Turin. He received a Master's degree in Finance and a Master's degree in Insurance and Risk Management from the Collegio Carlo Alberto (Moncalieri, Turin, Italy). He is currently enrolled in the Ph.D program in Finance at the University of Roma Tre, which he is attending while working for the Symphonia Sgr in Turin (Italy) as a Senior Risk Manager since 2007. His research interests focus on risk management and on quantitative methods for portfolio selection.
In this paper, the authors adopt a new method of predicting VaR, to estimate balanced portfolios’ VaR.
The authors propose a naive model to forecast ex ante value-at-risk (VaR), using a shrinkage estimator between realized volatility estimated on past return time series as well as implied volatility quoted in the market.