Next generation models for portfolio risk management: An approach using financial big data
提出一种动态投资组合风险测量模型，利用金融大数据纳入目标组合外的信息，克服维度灾难，提高小规模投资组合风险分析的准确性，对投资组合经理和金融监管者有用。
Abstract 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.