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Document type:
Zeitungsartikel 
Author(s):
Klüppelberg, C. and Seifert, M. I. 
Title:
Financial risk measures for a network of individual agents holding portfolios of light-tailed objects 
Abstract:
In this paper, we investigate a financial network of agents holding portfolios of independent light-tailed objects with losses assumed to be asymptotically exponentially distributed with distinct tail parameters. For portfolio losses, we deduce distributions referring to the class of functional exponential mixtures. We also provide statements for common risk measures – Value-at-Risk and Expected Shortfall – and quantify conditional risk measures by deriving results for Conditional Expected Short...    »
 
Keywords:
asymptotic exponential distribution, functional mixture, generalized exponential mixture distribution, individual and system risks, system regulation 
Dewey Decimal Classification:
510 Mathematik 
Journal title:
Preprint 
Year:
2018 
Year / month:
2018-03 
Quarter:
1. Quartal 
Month:
Mar 
Language:
en 
WWW:
_blank 
Status:
Preprint / submitted 
TUM Institution:
Lehrstuhl für Mathematische Statistik 
Format:
Text