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De copulis non est disputandum - Copulae: An Overview
Härdle, Wolfgang; Okhrin, Ostap - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2009
. Nevertheless it is not very often consistent with the real data. Copulae allows for an extension of the classical time series … models to nonelliptically distributed residuals. In this paper we apply different copulae to the calculation of the static … and dynamic Value-at-Risk of portfolio returns and Profit-and-Loss function. In our findings copula based multivariate …
Persistent link: https://www.econbiz.de/10005016234
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Pricing bivariate option under GARCH-GH model with dynamic copula : application for Chinese market
Guegan, Dominique; Zhang, Jing - HAL - 2007
is used for innovations. As the association between the underlying assets may vary over time, the dynamic copula approach …-GH model with time-varying copula differ substantially from the prices implied by the GARCH-Gaussian dynamic copula model …
Persistent link: https://www.econbiz.de/10010750828
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Pricing bivariate option under GARCH-GH model with dynamic copula: application for Chinese market
Guegan, Dominique; Zhang, Jing - HAL - 2009
is used for innovations. As the association between the underlying assets may vary over time, the dynamic copula approach …-GH model with time-varying copula differ substantially from the prices implied by the GARCH-Gaussian dynamic copula model …
Persistent link: https://www.econbiz.de/10010738494
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Granularity adjustment for Basel II
Lütkebohmert, Eva; Gordy, Michael B. - Deutsche Bundesbank - 2007
The credit value-at-risk model underpinning the Basel II Internal Ratings-Based approach assumes that idiosyncratic risk has been diversified away fully in the portfolio, so that economic capital depends only on systematic risk contributions. We develop a simple methodology for approximating the...
Persistent link: https://www.econbiz.de/10005082761
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Measuring business sector concentration by an infection model
Düllmann, Klaus - Deutsche Bundesbank - 2005
Results from portfolio models for credit risk tell us that loan concentration in certain industry sectors can substantially increase the value-at-risk (VaR). The purpose of this paper is to analyze whether a tractable "infection model" can provide a meaningful estimate of the impact of...
Persistent link: https://www.econbiz.de/10005082800
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The var at risk
Galichon, Alfred - HAL - 2009
I show that the structure of the firm is not neutral in respect to regulatory capital budgeted under rules which are based on the Value-at-Risk.
Persistent link: https://www.econbiz.de/10008794317
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Nonparametric Estimates for Conditional Quantiles of Time Series
Franke, Jürgen; Mwita, Peter; Wang, Weining - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2014
We consider the problem of estimating the conditional quantile of a time series fYtg at time t given covariates Xt, where Xt can ei- ther exogenous variables or lagged variables of Yt . The conditional quantile is estimated by inverting a kernel estimate of the conditional distribution function,...
Persistent link: https://www.econbiz.de/10011118447
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TEDAS - Tail Event Driven ASset Allocation
Härdle, Wolfgang Karl; Nasekin, Sergey; Chuen, David … - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2014
using hedge fund indices. …
Persistent link: https://www.econbiz.de/10010785498