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Value-at-Risk and Expected Shortfall when there is long range dependence.

Härdle, Wolfgang; Mungo, Julius - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2008

Empirical studies have shown that a large number of financial asset returns exhibit fat tails and are often characterized by volatility clustering and asymmetry. Also revealed as a stylized fact is Long memory or long range dependence in market volatility, with significant impact on pricing and...

Persistent link: https://www.econbiz.de/10005678005

Portfolio Value at Risk Based on Independent Components Analysis

Chen, Ying; Härdle, Wolfgang; Spokoiny, Vladimir - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2005

Risk management technology applied to high dimensional portfolios needs simple and fast methods for calculation of Value-at-Risk (VaR). The multivariate normal framework provides a simple off-the-shelf methodology but lacks the heavy tailed distributional properties that are observed in data. A...

Persistent link: https://www.econbiz.de/10005207944

Quantile Regression in Risk Calibration

Chao, Shih-Kang; Härdle, Wolfgang Karl; Wang, Weining - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2012

Financial risk control has always been challenging and becomes now an even harder problem as joint extreme events occur more frequently. For decision makers and government regulators, it is therefore important to obtain accurate information on the interdependency of risk factors. Given a...

Persistent link: https://www.econbiz.de/10009651900

Inhomogeneous Dependency Modelling with Time Varying Copulae

Giacomini, Enzo; Härdle, Wolfgang; Ignatieva, Ekaterina; … - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2006

analysis of multivariate time series. In this paper we use copulae functions with adaptively estimated time varying parameters … for modelling the distribution of returns, free from the usual normality assumptions. Further, we apply copulae to …

Persistent link: https://www.econbiz.de/10005677944

Value-at-Risk Calculations with Time Varying Copulae

Giacomini, Enzo; Härdle, Wolfgang - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2005

distribution can be modelled through copulae, where the copulae parameters are not necessarily constant over time. For an exchange … rate portfolio, copulae with time varying parameters are estimated and the VaR simulated accordingly. Backtesting … underlines the improved performance of time varying copulae. …

Persistent link: https://www.econbiz.de/10005652756

Modelling general dependence between commodity forward curves

Zolotko, Mikhail; Okhrin, Ostap - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2012

family of dynamic conditional correlation models based on hierarchical Archimedean copulae (HAC DCC), which are flexible, but …

Persistent link: https://www.econbiz.de/10010581005

On the Appropriateness of Inappropriate VaR Models

Härdle, Wolfgang; Hlavka, Zdenek; Stahl, Gerhard - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2006

The Value-at-Risk calculation reduces the dimensionality of the risk factor space. The main reasons for such simplifications are, e.g., technical efficiency, the logic and statistical appropriateness of the model. In Chapter 2 we present three simple mappings: the mapping on the market index,...

Persistent link: https://www.econbiz.de/10005784862