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TERES: tail event risk expectile based shortfall

Gschöpf, Philipp; Härdle, Wolfgang; Mihoci, Andrija - 2015

A flexible framework for the analysis of tail events is proposed. The framework contains tail moment measures that allow for Expected Shortfall (ES) estimation. Connecting the implied tail thickness of a family of distributions with the quantile and expectile estimation, a platform for risk...

Persistent link: https://www.econbiz.de/10011349502

lCARE: localizing conditional autoregressive expectiles

Xu, Xiu; Mihoci, Andrija; Härdle, Wolfgang - 2015

We account for time-varying parameters in the conditional expectile based value at risk (EVaR) model. EVaR appears more sensitive to the magnitude of portfolio losses compared to the quantile-based Value at Risk (QVaR), nevertheless, by fitting the models over relatively long ad-hoc fixed time...

Persistent link: https://www.econbiz.de/10011392816

Dynamic credit default swaps curves in a network topology

Xu, Xiu; Chen, Cathy Yi-Hsuan; Härdle, Wolfgang - 2016

of default factors from cross-sectional credit default swaps (CDS) curves allows to analyze the shape and the dynamics of … should be weighted for the market participants with longer credit exposures, and for regulators with a mission to stabilize …

Persistent link: https://www.econbiz.de/10011579056

A dynamic programming approach for pricing weather derivatives under issuer default risk

Härdle, Wolfgang; Osipenko, Maria - In: International Journal of Financial Studies : open … 5 (2017) 4, pp. 1-18

Weather derivatives are contingent claims with payoff based on a pre-specified weather index. Firms exposed to weather risk can transfer it to financial markets via weather derivatives. We develop a utility-based model for pricing baskets of weather derivatives under default risk on the issuer...

Persistent link: https://www.econbiz.de/10011760235

Hedging cryptos with Bitcoin futures

Liu, Francis; Packham, Natalie; Lu, Meng-Jou; Härdle, … - 2021 - This version: December 16, 2021

The introduction of derivatives on Bitcoin enables investors to hedge risk exposures in cryptocurrencies. Because of volatility swings and jumps in cryptocurrency prices, the traditional variance-based approach to obtain hedge ratios is infeasible. As a consequence, we consider two extensions of...

Persistent link: https://www.econbiz.de/10012797474

Exploring credit data

Müller, Marlene; Härdle, Wolfgang - 2002

Credit scoring methods aim to assess the default risk of a potential borrower. This involves typically the calculation … of a credit score and the estimation of the probability of default. One of the standard approaches is logistic … discriminant analysis, also referred to as logit model. This model maps explanatory variables for the default risk to a credit …

Persistent link: https://www.econbiz.de/10009627282

Adaptive risk management

Chen, Ying - 2007

In den vergangenen Jahren ist die Untersuchung des Risikomanagements vom Baselkomitee angeregt, um die Kredit- und Bankwesen regelmäßig zu aufsichten. Für viele multivariate Risikomanagementmethoden gibt es jedoch Beschränkungen von: 1) verlässt sich die Kovarianzschätzung auf eine...

Persistent link: https://www.econbiz.de/10009467091

Nonparametric Risk Management with Generalized Hyperbolic Distributions

Ying, Cheng; Härdle, Wolfgang; Seok-Oh, Jeong - Center for Applied Statistics and Economics <Berlin> - 2005

In this paper we propose the GHADA risk management model that is based on the generalizedhyperbolic (GH) distribution and on a nonparametric adaptive methodology. Comparedto the normal distribution...

Persistent link: https://www.econbiz.de/10005854702

Hedging cryptos with Bitcoin futures

Liu, Francis; Packham, Natalie; Lu, Meng-Jou; Härdle, … - 2021

Persistent link: https://www.econbiz.de/10012802570

Modeling Dependencies in Finance using Copulae

Härdle, Wolfgang; Okhrin, Ostap; Okhrin, Yarema - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2008

In this paper we provide a review of copula theory with applications to finance. We illustrate the idea on the bivariate framework and discuss the simple, elliptical and Archimedean classes of copulae. Since the cop- ulae model the dependency structure between random variables, next we explain...

Persistent link: https://www.econbiz.de/10005677999