Similar Search Results

Love and Death : A Freund Model with Frailty

Gouriéroux, Christian; Lu, Yang - Centre de Recherche en Économie et Statistique … - 2013

dependence is usually taken into account in the actuarial literature by introducing an Archimedean copula. This practice implies …

Persistent link: https://www.econbiz.de/10010857712

Shock on Variable or Shock on Distribution with Application to Stress-Tests

Dubecq, Simon; Gouriéroux, Christian - Centre de Recherche en Économie et Statistique … - 2012

The shocks on a stochastic system can be defined by means of either distribution, or variable. We relate these approaches and provide the link between the global and local effects of both types of shocks. These methodologies are used to perform stress-tests on the portfolio of financial...

Persistent link: https://www.econbiz.de/10010548475

A Asymptotic Total Variation Test for Copulas

Fermanian, Jean-David; Radulovic, Dragan; Wegkamp, Marten - Centre de Recherche en Économie et Statistique … - 2013

We propose a new goodness-of-fit test for copulas, based on empirical copula processes and nonparametric bootstrap … counterparts. The standard Kolmogorov-Smirnov type test for copulas that takes the supremum of the empirical copula process indexed … by orthants is extended by test statistics based on the supremum of the empirical copula process indexed by families of …

Persistent link: https://www.econbiz.de/10010747006

A Dynamic Multivariate Heavy-Tailed Model for Time-Varying Volatilities and Correlations

Creal, Drew; Koopman, Siem Jan; Lucas, André - Tinbergen Institute - 2010

a representation as a time-varying heavy-tailed copula which is particularly useful if the interest focuses on …

Persistent link: https://www.econbiz.de/10008838568

Decomposing Portfolio Value-at-Risk: A General Analysis

Hallerbach, Winfried G. - Tinbergen Institute - 1999

An intensive and still growing body of research focuses on estimating a portfolio’s Value-at-Risk. Depending on both the degree of non-linearity of the instruments comprised in the portfolio and the willingness to make restrictive assumptions on the underlying statistical distributions, a...

Persistent link: https://www.econbiz.de/10005144576

Backtesting Value-at-Risk using Forecasts for Multiple Horizons, a Comment on the Forecast Rationality Tests of A.J. Patton and A. Timmermann

Hoogerheide, Lennart F.; Ravazzolo, Francesco; Dijk, … - Tinbergen Institute - 2011

Patton and Timmermann (2011, 'Forecast Rationality Tests Based on Multi-Horizon Bounds', <I>Journal of Business & Economic Statistics</I>, forthcoming) propose a set of useful tests for forecast rationality or optimality under squared error loss, including an easily implemented test based on a...</i>

Persistent link: https://www.econbiz.de/10009322510

Optimal Portfolio Allocation under a Probabilistic Risk Constraint and the Incentives for Financial Innovation

Daníelsson, Jón; Jorgensen, Bjørn N.; Vries, Casper G. de - Tinbergen Institute - 2001

We characterize the investor’s optimal portfolio allocation subject to a budget constraint and a probabilistic VaR constraint in complete markets environments with a finite number of states. The set of feasible portfolios might no longer be connected or convex, while the number of local optima...

Persistent link: https://www.econbiz.de/10005137002

Adaptive Polar Sampling with an Application to a Bayes Measure of Value-at-Risk

Bauwens, Luc; Bos, Charles S.; Dijk, Herman K. van - Tinbergen Institute - 1999

Adaptive Polar Sampling (APS) is proposed as a Markov chain Monte Carlo method for Bayesian analysis of models with ill-behaved posterior distributions. In order to sample efficiently from such a distribution, a location-scale transformation and a transformation to polar coordinates are used....

Persistent link: https://www.econbiz.de/10005137171

Portfolio Diversification Effects of Downside Risk

Hyung, Namwon; Vries, Casper G. de - Tinbergen Institute - 2005

Risk managers use portfolios to diversify away the unpriced risk of individual securities. In this article we compare the benefits of portfolio diversification for downside risk in case returns are normally distributed with the case of fat-tailed distributed returns. The downside risk of a...

Persistent link: https://www.econbiz.de/10005137332

Analytic Decision Rules for Financial Stochastic Programs

Siegmann, Arjen H.; Lucas, André - Tinbergen Institute - 2000

Contemporary financial stochastic programs typically involve a trade-off between return and (downside)-risk. Using stochastic programming we characterize analytically (rather than numerically) the optimal decisions that follow from characteristic single-stage and multi-stage versions of such...

Persistent link: https://www.econbiz.de/10005450807