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Applied quantitative finance : theory and computational tools

Härdle, Wolfgang; Stahl, Gerhard - 2002

Persistent link: https://www.econbiz.de/10001676122

Nonparametric risk management with generalized hyperbolic distributions

Chen, Ying (contributor); Härdle, Wolfgang (contributor); … - 2005

In this paper we propose the GHADA risk management model that is based on the generalized hyperbolic (GH) distribution and on a nonparametric adaptive methodology. Compared to the normal distribution, the GH distribution possesses semi-heavy tails and represents the financial risk factors more...

Persistent link: https://www.econbiz.de/10003035074

Recursive Portfolio Selection with Decision Trees

Andriyashin, Anton - 2017

A great proportion of stock dynamics can be explained using publicly available information. The relationship between dynamics and public information may be of nonlinear character. In this paper we offer an approach to stock picking by employing so-called decision trees and applying them to XETRA...

Persistent link: https://www.econbiz.de/10012966264

De Copulis Non Est Disputandum - Copulae : An Overview

Härdle, Wolfgang - 2017

Normal distribution of the residuals is the traditional assumption in the classical multivariate time series models. 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...

Persistent link: https://www.econbiz.de/10012966281

Financial Risk Meter based on Expectiles

Ren, Rui; Lu, Meng-Jou; Li, Yingxing; Härdle, Wolfgang - 2021

The Financial Risk Meter (FRM) is an established mechanism that, based on conditional Value at Risk (VaR) ideas, yields insight into the dynamics of network risk. Originally, the FRM has been composed via Lasso based quantile regression, but we here extend it by incorporating the idea of...

Persistent link: https://www.econbiz.de/10013235490

An AI approach to measuring financial risk

Yu, Lining; Härdle, Wolfgang; Borke, Lukas; Benschop, Thijs - In: The Singapore economic review 68 (2023) 5, pp. 1529-1549

Persistent link: https://www.econbiz.de/10014436192

De copulis non est disputandum : copulae: an overview

Härdle, Wolfgang; Okhrin, Ostap - In: Advances in statistical analysis : AStA ; a journal of … 94 (2010) 1, pp. 1-31

Persistent link: https://www.econbiz.de/10003951049

CDO surfaces dynamics

Choros-Tomczyk, Barbara; Härdle, Wolfgang; Okhrin, Ostap - 2013

Modelling the dynamics of credit derivatives is a challenging task in finance and economics. The recent crisis has shown that the standard market models fail to measure and forecast financial risks and their characteristics. This work studies risk of collateralized debt obligations (CDOs) by...

Persistent link: https://www.econbiz.de/10009763975

TEDAS - Tail Event Driven ASset Allocation

Härdle, Wolfgang; Nasekin, Sergey; Lee, David Kuo Chuen; … - 2014

assets and opposite tail movements are essential to the asset allocation problem, since they determine the level of risk in a … Driven ASset allocation, one studies the dependence between assets at different quantiles. In a hedging exercise, TEDAS uses … active risk factors, an adjustment for intertemporal correlation is made. Finally, the asset allocation weights are …

Persistent link: https://www.econbiz.de/10010365113

Nonparametric risk management with generalized hyperbolic distributions

Chen, Ying; Härdle, Wolfgang; Jeong, Seok-oh - In: Journal of the American Statistical Association : JASA 103 (2008) 483, pp. 910-923

Persistent link: https://www.econbiz.de/10003772400