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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:
Accurate estimation of different risk measures for financial portfolios is of utmost importance equally for financial institutions as well as regulators, however, many existing models fail to incorporate any high dimensional dependence structures adequately. To overcome this problem and capture complex cross-dependence structures, we use the flexible class of vine copulas and introduce a conditional estimation approach focusing on a stress factor. Furthermore, we compute conditional portfolio le...     »
Dewey Dezimalklassifikation:
510 Mathematik
Zeitschriftentitel:
Preprint
Jahr:
2022
Sprache:
en
Volltext / DOI:
doi:10.48550/ARXIV.2208.09156
Verlag / Institution:
arXiv
Status:
Preprint / submitted
Eingereicht (bei Zeitschrift):
19.08.2022
Semester:
SS 22
TUM Einrichtung:
Professur für Angewandte Mathematische Statistik
Format:
Text
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