---
title: VaR and ES Forecasting in Large Portfolios: A Dynamic Factor Model Approach
url: https://www.ml-quant.com/papers/repec/eee-ecosta-v-27-y-2023-i-c-p-1-15/
site: ML-Quant (https://www.ml-quant.com)
updated: 2026-09-26
license: Summaries CC BY 4.0; links go to the original sources
index: https://www.ml-quant.com/llms.txt
identifier: RePEc:eee:ecosta:v:27:y:2023:i:c:p:1-15
source_url: https://econpapers.repec.org/scripts/redir.pf?u=http%3A%2F%2Fwww.sciencedirect.com%2Fscience%2Farticle%2Fpii%2FS2452306221000563%3Bh%3Drepec%3Aeee%3Aecosta%3Av%3A27%3Ay%3A2023%3Ai%3Ac%3Ap%3A1-15
featured: 2023-07-12
citations: unknown
topic: Portfolio & Allocation
---


# VaR and ES Forecasting in Large Portfolios: A Dynamic Factor Model Approach

A Dynamic Factor Model Approach: The article introduces two superior methods for predicting and estimating Value-at-Risk (VaR) and Expected Shortfall (ES) in large portfolios.

- Source: https://econpapers.repec.org/scripts/redir.pf?u=http%3A%2F%2Fwww.sciencedirect.com%2Fscience%2Farticle%2Fpii%2FS2452306221000563%3Bh%3Drepec%3Aeee%3Aecosta%3Av%3A27%3Ay%3A2023%3Ai%3Ac%3Ap%3A1-15
- Identifier: RePEc:eee:ecosta:v:27:y:2023:i:c:p:1-15
- Released: 2023-07-12
- First featured: Quant Letter No. 7 (2023-07-12): https://www.ml-quant.com/issues/2023-07-12/
- Citations (Semantic Scholar): not tracked
- Published in: not yet
- Topic: Portfolio & Allocation

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