TY - JOUR N2 - The s-period ahead Value-at-Risk (VaR) for a portfolio of dimension n is considered and its Bayesian analysis is discussed. The VaR assessment can be based either on the n-variate predictive distribution of future returns on individual assets, or on the univariate Bayesian model for the portfolio value (or the return on portfolio). In both cases Bayesian VaR takes into account parameter uncertainty and non-linear relationship between ordinary and logarithmic returns. In the case of a large portfolio, the applicability of the n-variate approach to Bayesian VaR depends on the form of the statistical model for asset prices. We use the n-variate type I MSF-SBEKK(1,1) volatility model proposed specially to cope with large n. We compare empirical results obtained using this multivariate approach and the much simpler univariate approach based on modelling volatility of the value of a given portfolio. L1 - http://www.journals.pan.pl/Content/103815/PDF-MASTER/mainFile.pdf L2 - http://www.journals.pan.pl/Content/103815 PY - 2010 IS - No 4 EP - 277 DO - 10.24425/cejeme.2010.119331 KW - Bayesian econometrics KW - risk analysis KW - multivariate GARCH processes KW - multivariate SV processes KW - hybrid SV-GARCH models A1 - Osiewalski, Jacek A1 - Pajor, Anna PB - Oddział PAN w Łodzi DA - 31.12.2010 T1 - Bayesian Value-at-Risk for a Portfolio: Multi- and Univariate Approaches using MSF-SBEKK Models SP - 253 UR - http://www.journals.pan.pl/dlibra/publication/edition/103815 T2 - Central European Journal of Economic Modelling and Econometrics ER -