Für eine effiziente Kapitalallokation, insbesondere mit Blick auf die Hinterlegung ausreichender Eigenmittel zur Absicherung gegen extreme Marktbewegungen, ist eine möglichst genaue Abschätzung der Marktrisiken erforderlich. Die Ermittlung des Value-at-Risk ist in diesem Zusammenhang von...

We propose and backtest a multivariate Value-at-Risk model for financial returns based on Tukey's g-and-h distribution. This distributional assumption is especially useful if (conditional) asymmetries as well as heavy tails have to be considered and fast random sampling is of importance. To...

We propose a multidimensional extension for Patton's (2006) bivariate Dynamic Copulas. We also introduce a Dynamic Mixture Copula whose parameters and weights follow well defined dynamic processes. Both approaches are more flexible to adapt to financial data than currently available Copula...

We propose a multidimensional extension for Patton’s (2006) bi-variate Dynamic Copulas. We also introduce a Dynamic Mixture Copula whose parameters and weights follow well defined dynamic processes. Both approaches improve the Copulas’ flexibilities and their adaptabilities to financial...