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~person:"Alberini, Anna"
~person:"Härdle, Wolfgang"
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141
Value
-at-Risk Calculations with Time Varying Copulae
Giacomini, Enzo
;
Härdle, Wolfgang
-
Sonderforschungsbereich Ökonomisches Risiko <Berlin>
-
2005
Value
-at-Risk (VaR) of a portfolio is determined by the multivariate distribution of the risk factors increments. This …
Persistent link: https://www.econbiz.de/10005862333
Saved in:
142
Nonparametric Risk Management with Generalized Hyperbolic Distributions
Chen, Ying
;
Härdle, Wolfgang
;
Jeong, Seok-Oh
-
Sonderforschungsbereich Ökonomisches Risiko <Berlin>
-
2005
portfolio data the proposed GHADA model provides more accurate
value
at risk calculation than the traditional model based on the …
Persistent link: https://www.econbiz.de/10005862343
Saved in:
143
Value
-at-Risk and Expected Shortfall when there is long range dependence
Härdle, Wolfgang
;
Mungo, Julius
-
Sonderforschungsbereich Ökonomisches Risiko <Berlin>
Value
-at-Risk (VaR). In this paper, we evaluate the
Value
-at-Risk (VaR) and Expected Shortfall (ESF) in financial markets …
Persistent link: https://www.econbiz.de/10005860751
Saved in:
144
On the Appropriateness of Inappropriate VaR Models
Härdle, Wolfgang
;
Hlávka, Zdeněk
;
Stahl, Gerhard
-
Sonderforschungsbereich Ökonomisches Risiko <Berlin>
The
Value
-at-Risk calculation reduces the dimensionality of the risk factorspace. The main reasons for such …
Persistent link: https://www.econbiz.de/10005854718
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