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Title:

Vine Copula based Portfolio Level Conditional Risk Measure Forecasting

Document type:
Zeitschriftenaufsatz
Author(s):
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 Decimal Classification:
510 Mathematik
Journal title:
Econometrics and Statistics
Year:
2023
Year / month:
2023-08
Quarter:
3. Quartal
Month:
Aug
Language:
en
Fulltext / DOI:
doi:10.1016/j.ecosta.2023.08.002
Publisher:
Elsevier BV
E-ISSN:
2452-3062
Date of publication:
21.08.2023
Semester:
SS 23
TUM Institution:
Angewandte Mathematische Statistik
Format:
Text
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