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Titel:

Vine Copula based Portfolio Level Conditional Risk Measure Forecasting

Dokumenttyp:
Zeitschriftenaufsatz
Autor(en):
Sommer, Emanuel; Bax, Karoline; Czado, Claudia
Abstract:
Accurately estimating risk measures for financial portfolios and validating their robustness is critical for both financial institutions and regulators. However, many existing models operate at the aggregate portfolio level, hence they fail to capture the complex cross-dependencies between portfolio components and particularly provide no methodology to perform a sensitivity analysis on the estimates. To address both aspects, a new approach is presented that uses vine copulas in combination with...     »
Dewey Dezimalklassifikation:
510 Mathematik
Zeitschriftentitel:
Econometrics and Statistics
Jahr:
2023
Jahr / Monat:
2023-08
Quartal:
3. Quartal
Monat:
Aug
Sprache:
en
Volltext / DOI:
doi:10.1016/j.ecosta.2023.08.002
Verlag / Institution:
Elsevier BV
E-ISSN:
2452-3062
Publikationsdatum:
21.08.2023
Semester:
SS 23
TUM Einrichtung:
Angewandte Mathematische Statistik
Format:
Text
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