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Titel:

Financial risk measures for a network of individual agents holding portfolios of light-tailed objects

Dokumenttyp:
Zeitungsartikel
Autor(en):
Klüppelberg, C. and Seifert, M. I.
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...     »
Stichworte:
asymptotic exponential distribution, functional mixture, generalized exponential mixture distribution, individual and system risks, system regulation
Dewey Dezimalklassifikation:
510 Mathematik
Zeitschriftentitel:
Finance and Stochastics
Jahr:
2019
Band / Volume:
23
Jahr / Monat:
2019-10
Quartal:
4. Quartal
Monat:
Oct
Heft / Issue:
4
Seitenangaben Beitrag:
795-826
Sprache:
en
WWW:
Springer
Verlag / Institution:
Springer
Verlagsort:
Berlin Heidelberg
Print-ISSN:
0949-2984
E-ISSN:
1432-1122
Hinweise:
First online: 26 July 2019
Status:
Verlagsversion / published
Eingereicht (bei Zeitschrift):
19.12.2018
TUM Einrichtung:
Lehrstuhl für Mathematische Statistik
Format:
Text
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