
doi: 10.2139/ssrn.1630380
We consider the VaR associated with the global loss generated by a set risk sources. We propose a sequence of simple models incorporating progressively the notions of contagion due to instantaneous correlations, of serial correlation, of evolution of the instantaneous correlations, of volatility clustering, of conditional heteroskedasticity and of persistency of shocks. The tools used are the standard and extended Kalman filters.
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