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Estimating and backtesting risk under heavy tails
Pitera, Marcin; Schmidt, Thorsten - In: Insurance / Mathematics & economics 104 (2022), pp. 1-14
Persistent link: https://www.econbiz.de/10013264930
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Spectral measures of risk for international futures markets : a comparison of extreme value and Lévy models
Mozumder, Sharif; Choudhry, Taufiq; Dempsey, Michael - In: Global finance journal 37 (2018), pp. 248-261
Persistent link: https://www.econbiz.de/10012125354
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Bias-correction in vector autoregressive models : a simulation study
Engsted, Tom; Pedersen, Thomas Q. - In: Econometrics : open access journal 2 (2014) 1, pp. 45-71
We analyze the properties of various methods for bias-correcting parameter estimates in both stationary and non …-stationary vector autoregressive models. First, we show that two analytical bias formulas from the existing literature are in fact … identical. Next, based on a detailed simulation study, we show that when the model is stationary this simple bias formula …
Persistent link: https://www.econbiz.de/10010336196
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Robust Bootstrap Densities for Dynamic Conditional Correlations : Implications for Portfolio Selection and Value-at-Risk
Trucíos, Carlos - 2017
Many financial decisions such as portfolio allocation, risk management, option pricing and hedge strategies are based on the forecast of the conditional variances, covariances and correlations of financial returns. Although the decisions are based on forecasts covariance matrix little is known...
Persistent link: https://www.econbiz.de/10012956168
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Nonparametric estimation of systemic risk via conditional value-at-risk
Belhad, Ahmed; Lauria, Davide; Trindade, A. Alexandre - In: Journal of risk 25 (2022) 1, pp. 1-21
Persistent link: https://www.econbiz.de/10013549675
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A test for the portion of bivariate dependence in multivariate tail risk
Bormann, Carsten; Schienle, Melanie; Schaumburg, Julia - 2014
In practice, multivariate dependencies of extreme risks are often only assessed in a pairwise way. We propose a novel test to detect when bivariate simplifications produce misleading results. This occurs when a significant portion of the multivariate dependence structure in the tails is of...
Persistent link: https://www.econbiz.de/10010246746
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Beyond dimension two : a test for higher-order tail risk
Bormann, Carsten; Schienle, Melanie; Schaumburg, Julia - 2014
In practice, multivariate dependencies between extreme risks are often only assessed in a pairwise way. We propose a test to detect when tail dependence is truly high{dimensional and bivariate simplifications would produce misleading results. This occurs when a significant portion of the...
Persistent link: https://www.econbiz.de/10010402973
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Berücksichtigung von Schätzunsicherheit bei der Kreditrisikobewertung : Vergleich des Value at Risk der Verlustverteilung des Kreditrisikos bei Verwendung von Bootstrapping und einem asymptotischen Ansatz
Dannenberg, Henry - 2009
Bei der Kreditrisikobewertung müssen die Parameter Ausfallwahrscheinlichkeit und korrelation geschätzt werden. Diese Schätzung erfolgt unter Unsicherheit. In der Literatur werden asymptotische Konfidenzregionen diskutiert, um diese Unsicherheit bei der simultanen Schätzung beider Parameter...
Persistent link: https://www.econbiz.de/10003825755
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A central limit theorem formulation for empirical bootstrap value-at-risk
Mitic, Peter; Bloxham, Nicholas - In: The journal of risk model validation 12 (2018) 1, pp. 49-83
Persistent link: https://www.econbiz.de/10011869732