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TEDAS - Tail Event Driven ASset Allocation

Härdle, Wolfgang Karl; Nasekin, Sergey; Chuen, David … - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2014

Portfolio selection and risk management are very actively studied topics in quantitative finance and applied statistics. They are closely related to the dependency structure of portfolio assets or risk factors. The correlation structure across assets and opposite tail movements are essential to...

Persistent link: https://www.econbiz.de/10010785498

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

Extreme value models in a conditional duration intensity framework

Herrera, Rodrigo; Schipp, Bernhard - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2011

The analysis of return series from financial markets is often based on the Peaks-over-threshold (POT) model. This model assumes independent and identically distributed observations and therefore a Poisson process is used to characterize the occurrence of extreme events. However, stylized facts...

Persistent link: https://www.econbiz.de/10010607137

State Price Densities implied from weather derivatives

Härdle, Wolfgang Karl; López-Cabrera, Brenda; Teng, … - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2013

A State Price Density (SPD) is the density function of a risk neutral equivalent martingale measure for option pricing, and is indispensible for exotic option pricing and portfolio risk management. Many approaches have been proposed in the last two decades to calibrate a SPD using financial...

Persistent link: https://www.econbiz.de/10010658762

Realized Copula

Fengler, Matthias R.; Okhrin, Ostap - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2012

We introduce the notion of realized copula. Based on assumptions of the marginal distri- butions of daily stock returns and a copula family, realized copula is dened as the copula structure materialized in realized covariance estimated from within-day high-frequency data. Copula parameters are...

Persistent link: https://www.econbiz.de/10010549032

New recipes for estimating default intensities

Baranovski, Alexander; Lieres, Carsten von; Wilch, André - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2009

This paper presents a new approach to deriving default intensities from CDS or bond spreads that yields smooth intensity curves required e.g. for pricing or risk management purposes. Assuming continuous premium or coupon payments, the default intensity can be obtained by solving an integral...

Persistent link: https://www.econbiz.de/10005677894

Time Dependent Relative Risk Aversion

Giacomini, Enzo; Handel, Michael; Härdle, Wolfgang K. - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2006

Risk management and the thorough understanding of the relations between financial markets and the standard theory of macroeconomics have always been among the topics most addressed by researchers, both financial mathematicians and economists. This work aims at explaining investors’ behavior...

Persistent link: https://www.econbiz.de/10005677974

Adaptive pointwise estimation in time-inhomogeneous time-series models

Cizek, Pavel; Härdle, Wolfgang; Spokoiny, Vladimir - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2008

-coefficient parametric models, such as AR or GARCH, whose coefficients may arbitrarily vary with time. Global parametric, smooth transition … the particular case of GARCH estimation, the proposed method is applied to stock-index series and is shown to outperform … the standard parametric GARCH model. …

Persistent link: https://www.econbiz.de/10005677996

Measuring and Modeling Risk Using High-Frequency Data

Härdle, Wolfgang; Hautsch, Nikolaus; Pigorsch, Uta - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2008

Measuring and modeling financial volatility is the key to derivative pricing, asset allocation and risk management. The recent availability of high-frequency data allows for refined methods in this field. In particular, more precise measures for the daily or lower frequency volatility can be...

Persistent link: https://www.econbiz.de/10005678039

Dynamical systems forced by shot noise as a new paradigm in the interest rate modeling

Baranovski, Alexander L. - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2010

In this paper we give a generalized model of the interest rates term structure including Nelson-Siegel and Svensson structure. For that we introduce a continuous m-factor exponential-polynomial form of forward interest rates and demonstrate its considerably better performance in a fitting of the...

Persistent link: https://www.econbiz.de/10008568495

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