Showing 1 - 10 of 18
Consider the portfolio problem of choosing the mix between stocks and bonds under a downside risk constraint. Typically stock returns exhibit fatter tails than bonds corresponding to their greater downside risk. Downside risk criteria like the safety first criterion therefore often select corner...
Persistent link: https://www.econbiz.de/10011343253
On November 14th, 2014, SUERF – The European Money and Finance Forum – and CNMV, Comisión Nacional del Mercado de Valores – the Spanish Authority for supervision of securities markets – jointly organized a conference in Madrid: Challenges in Securities Markets Regulation: Investor...
Persistent link: https://www.econbiz.de/10011712118
The aim of this paper is to analyze the sensitivity of Value at Risk (VaR) with respect to portfolio allocation. We derive analytical expressions for the first and second derivatives of the Value at Risk, and explain how they can be used to simplify statistical inference and to perform a local...
Persistent link: https://www.econbiz.de/10004985208
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This paper publishes results on the convergence for hedging strategies in the setting of incomplete financial markets.
Persistent link: https://www.econbiz.de/10005843299
This paper delevops a tools to analyse the ordering of concordance of random vectors.
Persistent link: https://www.econbiz.de/10005843302
This papfer deals with distributional free inference to test for positive quadrant dependence, i.e. for the probability that two variables are simultaneously small (or large) being at least as great as it would be were they dependent.
Persistent link: https://www.econbiz.de/10005843307
Accurate prediction of the frequency of extreme events is of primary importance in many financialapplications such as Value-at-Risk (VaR) analysis. We propose a semi-parametric method for VaRevaluation. The largest risks are modelled parametrically, while smaller risks are captured by the...
Persistent link: https://www.econbiz.de/10010533206
Economic problems such as large claims analysis in insurance and value-at-risk in finance, requireassessment of the probability P of extreme realizations Q. This paper provided a semi-parametricmethod for estimation of extreme (P, Q) combinations for data with heavy tails. We solve the...
Persistent link: https://www.econbiz.de/10010533207
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