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Mean and covariance matrix adaptive estimation for a weakly stationary process. Application in stochastic optimization

Guigues, Vincent - In: Statistics & Decisions 26 (2008) 2, pp. 109-143

Abstract We introduce an adaptive algorithm to estimate the uncertain parameter of a stochastic optimization problem. The procedure estimates the one-step-ahead means, variances and covariances of a random process in a distribution-free and multidimensional framework when these means, variances...

Persistent link: https://www.econbiz.de/10014621362

Risk management with high-dimensional vine copulas: An analysis of the Euro Stoxx 50

Brechmann, Eike Christain; Czado, Claudia - In: Statistics & Risk Modeling 30 (2013) 4, pp. 307-342

. Vine copulas can fill this gap by benefiting from the rich class of existing bivariate parametric copula families …. Exploiting this in combination with GARCH models for the margins, we develop a regular vine copula based factor model for asset … of specific stocks, and we explicitly discuss how vine copula models can be employed for active and passive portfolio …

Persistent link: https://www.econbiz.de/10014622242

Estimation Risk and Portfolio Selection

Kempf, Alexander; Kreuzberg, Klaus; Memmel, Christoph - 2001

This paper presents a new approach to incorporate estimation risk into mean-variance portfolio selection. The key contribution of our analysis is that we model the estimation risk as a second, independent source of risk.

Persistent link: https://www.econbiz.de/10005840708

Value at Risk, Normalverteilungshypothese und Extremwertverhalten

Rau-Bredow, Hans - 2002

Die offensichtlich zunehmende Volatilität an den Finanzmärkten verbunden mit immer häufiger auftretenden extremen Ausschlägen sind der Grund für die wachsende Bedeutung des finanziellen Risikomanagements. In den letzten Jahren hat sich die Value-at-Risk-Methodik in diesem Zusammenhang als...

Persistent link: https://www.econbiz.de/10005843088

Kreditrisikomodellierung und Risikogewichte im Neuen Baseler Accord

Rau-Bredow, Hans - 2001

Persistent link: https://www.econbiz.de/10005843089

How banks construct and manage risk : A sociological study of small firm lending in Britain and Germany

Lane, Christel; Quack, Sigrid - 2002

This paper analyses the role of banks in financing SMEs in Britain and Germany.

Persistent link: https://www.econbiz.de/10005843614

Default Probabilities and Default Correlations

Erlenmaier, Ulrich; Gersbach, Hans - 2001

Starting from the Merton framework for firm defaults, we provide theanalytics and robustness of the relationship between defaultprobabilities and default correlations. We show that loans with higherdefault probabilities will not only have higher variances but also highercorrelations with other...

Persistent link: https://www.econbiz.de/10005843735

Risikosteuerung in Krisenzeiten

Hölscher, Reinhold; Kremers, Markus - Technische Universität <Kaiserslautern> / Lehrstuhl … - 2009

Instrumentell betrachtet ist die Finanzmarktkrise darauf zurückzuführen, dass zunächst eine Reihe von Kreditinstituten in Finanzinstrumente investiert hatten, deren Funktionsweise sie nicht vollständig verstanden hatten und deren Risiken sie nicht korrekt bewerten konnten. Als die ersten...

Persistent link: https://www.econbiz.de/10009486866

Time-Consistent Mean-Variance Portfolio Selection inDiscrete and Continuous Time

Czichowsky, Christoph - National Centre of Competence in Research - Financial … - 2010

It is well known that mean-variance portfolio selection is a time-inconsistent optimalcontrol problem in the sense that it does not satisfy Bellman’s optimalityprinciple and therefore the usual dynamic programming approach fails. We developa time-consistent formulation of this problem, which...

Persistent link: https://www.econbiz.de/10009486998

Methods for Evaluating Value-at-Risk Estimates

López, José A. - Federal Reserve Bank <New York, NY>; London School of … - 1998

In August 1996, the U.S. bank regulatory agenciesadopted the market risk amendment (MRA) to the 1988Basle Capital Accord. The MRA, which became effectivein January 1998, requires that commercial banks withsignificant trading activities set aside capital to cover themarket risk exposure in their...

Persistent link: https://www.econbiz.de/10005870077