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Dynamic Copula Modelling for Value at Risk
Fantazzini, Dean - 2011
This paper proposes dynamic copula and marginals functions to model the joint distribution of risk factor returns … marginal distributions from the dependence structure and estimate portfolio Value-at-Risk, assuming for the risk factors a …
Persistent link: https://www.econbiz.de/10013133960
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Do nonfinancial firms hold risky financial assets? Evidence from Germany
Hoang, Daniel; Silbereis, Fabian; Stengel, Raphael - 2021
Recent empirical evidence suggests that US industrial firms invest heavily in noncash, risky financial assets. Using hand-collected data on financial portfolios of German firms, we show that risky asset holdings are not an anomaly unique to the US. We find that industrial firms in Germany invest...
Persistent link: https://www.econbiz.de/10012490916
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Marktpreisrisiko-Reporting bei Nichtfinanzinstituten nach IFRS 7 : empirische Befunde zum Einsatz von Value at Risk und Sensitivitätsanalysen bei kapitalmarktorientierten Unternehm...
Fürst, Benedikt; Henselmann, Klaus; Klein, Martin - 2009
; Risikomanagement ; Monte-Carlo Simulation ; Kapitalmarkt ; Risk reporting ; Market Risk ;Sensitivity Analysis ; Value at Risk … different possibilities of preparing a sensitivity analysis, such as value at risk are illustrated and their suitability for … ; Internationale Rechnungslegung ; Marktpreisrisiken ; Finanzrisiken ; Value at Risk ; Sensitivitätsanalyse ; Publizitätsverhalten …
Persistent link: https://www.econbiz.de/10003935070
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Prediction of financial downside-risk with heavy-tailed conditional distributions
Mittnik, Stefan; Paolella, Marc S. - 2003
returns without ruling out normality. This contribution illustrates their usefulness in predicting the downside risk of …
Persistent link: https://www.econbiz.de/10009765347
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Tail-dependence in stock-return pairs
Fortin, Ines; Kuzmics, Christoph - 2002
-dependent distribution. -- value-at-risk ; copula ; non-normal bivariate GARCH ; asymmetric dependence ; profile likelihood-ratio test …
Persistent link: https://www.econbiz.de/10009725481
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Value-at-risk for long and short trading positions : evidence from developed and emerging equity markets
Diamandis, Panayotis F.; Drakos, Anastassios A.; … - In: International review of financial analysis 20 (2011) 3, pp. 165-176
Persistent link: https://www.econbiz.de/10009295738
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Tail-dependence in stock-return pairs
Fortin, Ines; Kuzmics, Christoph - 2002
Persistent link: https://www.econbiz.de/10001736255
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Accounting for nonnormality in liquidity risk
Ernst, Cornelia; Stange, Sebastian; Kaserer, Christoph - In: Journal of risk 14 (2011/12) 3, pp. 3-21
Persistent link: https://www.econbiz.de/10009531011
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Risk measurement with a safety belt : Pareto meets Chebyshev
Tödter, Karl-Heinz - In: Kredit und Kapital 45 (2012) 2, pp. 175-187
Persistent link: https://www.econbiz.de/10009580916
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Optionsbewertung und Risikomessung mit impliziten Binomialbäumen
Neumann, Marco - 1999
Persistent link: https://www.econbiz.de/10001374429