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The portfolio structure of German households : a multinomial fractional response approach with unobserved heterogeneity
Becker, Gideon - 2014 - This draft: September 1, 2014
What determines the risk structure of financial portfolios of German households? In this paper we estimate the determinants of the share of financial wealth invested in three broad risk classes. We employ a new econometric approach - the so called fractional multinomial logit model - which...
Persistent link: https://www.econbiz.de/10010426240
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Decomposing portfolio value-at-risk : a general analysis
Hallerbach, Winfried G. - 1999 - This rev.: May 10, 1999
the underlying statistical distributions, a variety of analyticalmethods and simulation-based methods are available. Aside … orhistorical and Monte Carlo simulation methods. Although these approaches to overall VaR estimation have receivedsubstantial … and incremental VaR in either a non-normal analytical setting or a MonteCarlo / historical simulation context.This paper …
Persistent link: https://www.econbiz.de/10011301159
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Simulating the market coefficient of relative risk aversion
Azar, Samih Antoine; Karaguezian-Haddad, Vera - In: Cogent economics & finance 2 (2014) 1, pp. 1-7
In this paper, expected utility, defined by a Taylor series expansion around expected wealth, is maximized. The coefficient of relative risk aversion (CRRA) that is commensurate with a 100% investment in the risky asset is simulated. The following parameters are varied: the riskless return, the...
Persistent link: https://www.econbiz.de/10010490408
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Decomposing Portfolio Value-at-Risk: A General Analysis
Hallerbach, Winfried G. - 1999
the underlying statistical distributions, a variety of analyticalmethods and simulation-based methods are available. Aside … orhistorical and Monte Carlo simulation methods. Although these approaches to overall VaR estimation have receivedsubstantial … and incremental VaR in either a non-normal analytical setting or a MonteCarlo / historical simulation context.This paper …
Persistent link: https://www.econbiz.de/10010324653
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Risk management of savings accounts
Džmuráňová, Hana; Teplý, Petr - 2014
This paper deals with the risk management of savings accounts. Savings accounts are non-maturing accounts bearing a relatively attractive rate of return and two embedded options: a customer's option to withdraw money at any time and a bank's option to set the deposit as it wishes. The risk...
Persistent link: https://www.econbiz.de/10010344157
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Nested Simulation in Portfolio Risk Measurement
Gordy, Michael B. - 2011
Risk measurement for derivative portfolios almost invariably calls for nested simulation. In the outer step one draws … be unacceptable, and adopt a variety of second-best pricing techniques to avoid the inner simulation. In this paper, we …
Persistent link: https://www.econbiz.de/10013130937
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Deviation from Normality and Sharpe Ratio Behavior : A Brief Simulation Study
Gatfaoui, Hayette - 2011
; Lien, 2002; Christensen and Platen, 2007). We employ a brief simulation study to assess the impact of deviations from …
Persistent link: https://www.econbiz.de/10013134519
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Value-at-Risk Forecasting Ability of Filtered Historical Simulation for Non-Normal GARCH Returns
Adcock, Christopher J. - 2013
Persistent link: https://www.econbiz.de/10013090404
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Awareness of Crash Risk Improves Kelly Strategies in Simulated Financial Time Series
Gerlach, J-C - 2020
We simulate a simplified version of the price process including bubbles and crashes proposed in Kreuser and Sornette (2018). The price process is defined as a geometric random walk combined with jumps modelled by separate, discrete distributions associated with positive (and negative) bubbles....
Persistent link: https://www.econbiz.de/10012836362
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Fast and Efficient Nested Simulation for Large Variable Annuity Portfolios : A Surrogate Modeling Approach
Lin, X. Sheldon - 2019
models is incorporated into the nested-simulation algorithm so that the relationship between the inputs and the outputs of a … simulation model is approximated by various statistical models. As a result, the nested-simulation algorithm can be run with much …The nested-simulation is commonly used for calculating the predictive distribution of the total variable annuity (VA …
Persistent link: https://www.econbiz.de/10012891643