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Stock picking via nonsymmetrically pruned binary decision trees
Andriyashin, Anton V. (contributor) - 2008
Stock picking is the field of financial analysis that is of particular interest for many professional investors and researchers. In this study stock picking is implemented via binary classification trees. Optimal tree size is believed to be the crucial factor in forecasting performance of the...
Persistent link: https://www.econbiz.de/10003727376
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Systemic risk contributions : a credit portfolio approach
Düllmann, Klaus; Puzanova, Natalia - 2011
We put forward a Merton-type multi-factor portfolio model for assessing banks’ contributions to systemic risk. This model accounts for the major drivers of banks’ systemic relevance: size, default risk and correlation of banks’ assets as a proxy for interconnectedness. We measure systemic...
Persistent link: https://www.econbiz.de/10009011220
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Financial Markets Portfolio Revaluation System
Macey-Dare, Rupert - 2012
/L sensitivity analysis, BPV and interest rate risk, portfolio VaR and market risk scenarios; ISDA collateral revaluation and …
Persistent link: https://www.econbiz.de/10013098037
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Discrete-Time Portfolio Optimization with Transaction Costs
Tao, Feiran - 2013
Persistent link: https://www.econbiz.de/10013082018
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Efficient Computation of Value at Risk with Heavy-Tailed Risk Factors
Fuh, Cheng-der - 2009
The probabilities considered in value-at-risk (VaR) are typically of moderate deviations. However, the variance … reduction techniques developed in the literature for VaR computation are based on large deviations methods. Modeling heavy …-tailed risk factors using multivariate $t$ distributions, we develop a new moderate-deviations method for VaR computation. We show …
Persistent link: https://www.econbiz.de/10013156820
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Elliptical Black-Litterman Portfolio Optimization
Palczewski, Andrzej - 2017
We extend the Black-Litterman framework beyond normality to general elliptical distributions of investor's views and asset returns and portfolio risk measured by CVaR. Unlike existing solutions, cf. Xiao and Valdez [Quant. Finan. 2015, 15:3, 509-519], the choice of distributions, with the first...
Persistent link: https://www.econbiz.de/10012960088
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Estimation of Multivariate Asset Models with Jumps
Loregian, Angela - 2018
We propose a consistent and computationally efficient 2-step methodology for the estimation of multidimensional non-Gaussian asset models built using Lévy processes. The proposed framework allows for dependence between assets and different tail-behaviors and jump structures for each asset. Our...
Persistent link: https://www.econbiz.de/10012937321
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Many Risks, One (Optimal) Portfolio
Homescu, Cristian - 2014
Persistent link: https://www.econbiz.de/10013050012
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Systemic Risk Contributions : A Credit Portfolio Approach
Duellmann, Klaus - 2016
We put forward a Merton-type multi-factor portfolio model for assessing banks' contributions to systemic risk. This model accounts for the major drivers of banks' systemic relevance: size, default risk and correlation of banks' assets as a proxy for interconnectedness. We measure systemic risk...
Persistent link: https://www.econbiz.de/10012989230
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Tail Risk Protection in Asset Management
Homescu, Cristian - 2014
Tail risk refers to the possibility that a rare event would adversely affect the value of a portfolio in a significant manner. It became much more relevant due to recent periods of strong market turbulence.We describe how to quantify such risk, which tail risk protection strategies were...
Persistent link: https://www.econbiz.de/10013044093