Statistics & Risk Modeling最新文献_第8页

Optimal control of interbank contagion under complete information 完全信息下银行间传染的最优控制

IF 1.5

Statistics & Risk Modeling Pub Date : 2013-12-28 DOI: 10.1515/strm-2013-1165

Andreea Minca, A. Sulem

引用次数: 19

Risk management with high-dimensional vine copulas: An analysis of the Euro Stoxx 50 高维葡萄球菌风险管理:对欧洲斯托克50指数的分析

IF 1.5

Statistics & Risk Modeling Pub Date : 2013-12-01 DOI: 10.1524/strm.2013.2002

E. Brechmann, C. Czado

{"title":"Risk management with high-dimensional vine copulas: An analysis of the Euro Stoxx 50","authors":"E. Brechmann, C. Czado","doi":"10.1524/strm.2013.2002","DOIUrl":"https://doi.org/10.1524/strm.2013.2002","url":null,"abstract":"Abstract The demand for an accurate financial risk management involving larger numbers of assets is strong not only in view of the financial crisis of 2007–2009. Especially dependencies among assets have not been captured adequately. While standard multivariate copulas have added some flexibility, this flexibility is insufficient in higher dimensional applications. Vine copulas can fill this gap by benefiting from the rich class of existing bivariate parametric copula families. Exploiting this in combination with GARCH models for the margins, we develop a regular vine copula based factor model for asset returns, the Regular Vine Market Sector model, which is motivated by the classical CAPM and shown to be superior to the CAVA model proposed by Heinen and Valdesogo (2009). The model can also be used to separate the systematic and idiosyncratic risk of specific stocks, and we explicitly discuss how vine copula models can be employed for active and passive portfolio management. In particular, Value-at-Risk forecasting and asset allocation are treated in detail. All developed models and methods are used to analyze the Euro Stoxx 50 index, a major market indicator for the Eurozone. Relevant benchmark models such as the popular DCC model and the common Student's t copula are taken into account.","PeriodicalId":44159,"journal":{"name":"Statistics & Risk Modeling","volume":null,"pages":null},"PeriodicalIF":1.5,"publicationDate":"2013-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1524/strm.2013.2002","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"66893105","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 169

Dynamic structured copula models 动态结构联结模型

IF 1.5

Statistics & Risk Modeling Pub Date : 2013-12-01 DOI: 10.1524/strm.2013.2004

W. Härdle, Ostap Okhrin, Yarema Okhrin

引用次数: 15

Asymptotically stable dynamic risk assessments 渐近稳定动态风险评估

IF 1.5

Statistics & Risk Modeling Pub Date : 2013-03-28 DOI: 10.1515/strm-2012-1146

Karl-Theodor Eisele, M. Kupper

引用次数: 0

Editorial to the special issue on Copulae of Statistics & Risk Modeling 统计与风险建模关系特刊社论

IF 1.5

Statistics & Risk Modeling Pub Date : 2013-01-01 DOI: 10.1524/strm.2013.9014

Ostap Okhrin

引用次数: 0

What makes dependence modeling challenging? Pitfalls and ways to circumvent them 是什么使依赖性建模具有挑战性?陷阱和规避它们的方法

IF 1.5

Statistics & Risk Modeling Pub Date : 2013-01-01 DOI: 10.1524/strm.2013.2001

Jan-Frederik Mai, M. Scherer

引用次数: 0

Bernstein estimator for unbounded copula densities 无界联结密度的Bernstein估计量

IF 1.5

Statistics & Risk Modeling Pub Date : 2013-01-01 DOI: 10.1524/strm.2013.2003

T. Bouezmarni, El Ghouch, A. Taamouti

引用次数: 26

Central clearing of OTC derivatives: Bilateral vs multilateral netting 场外衍生品的中央结算:双边结算与多边结算

IF 1.5

Statistics & Risk Modeling Pub Date : 2012-09-01 DOI: 10.1515/strm-2013-1161

R. Cont, Thomas Kokholm

{"title":"Central clearing of OTC derivatives: Bilateral vs multilateral netting","authors":"R. Cont, Thomas Kokholm","doi":"10.1515/strm-2013-1161","DOIUrl":"https://doi.org/10.1515/strm-2013-1161","url":null,"abstract":"Abstract We study the impact of central clearing of over-the-counter (OTC) transactions on counterparty exposures in a market with OTC transactions across several asset classes with heterogeneous characteristics. The impact of introducing a central counterparty (CCP) on expected interdealer exposure is determined by the tradeoff between multilateral netting across dealers on one hand and bilateral netting across asset classes on the other hand. We find this tradeoff to be sensitive to assumptions on heterogeneity of asset classes in terms of `riskyness' of the asset class as well as correlation of exposures across asset classes. In particular, while an analysis assuming independent, homogeneous exposures suggests that central clearing is efficient only if one has an unrealistically high number of participants, the opposite conclusion is reached if differences in riskyness and correlation across asset classes are realistically taken into account. We argue that empirically plausible specifications of model parameters lead to the conclusion that central clearing does reduce interdealer exposures: the gain from multilateral netting in a CCP overweighs the loss of netting across asset classes in bilateral netting agreements. When a CCP exists for interest rate derivatives, adding a CCP for credit derivatives is shown to decrease overall exposures. These findings are shown to be robust to the statistical assumptions of the model as well as the choice of risk measure used to quantify exposures.","PeriodicalId":44159,"journal":{"name":"Statistics & Risk Modeling","volume":null,"pages":null},"PeriodicalIF":1.5,"publicationDate":"2012-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1515/strm-2013-1161","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"67313249","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 139

On dependence consistency of CoVaR and some other systemic risk measures CoVaR与其他系统风险测度的依赖一致性

IF 1.5

Statistics & Risk Modeling Pub Date : 2012-07-14 DOI: 10.1515/strm-2013-1164

Georg Mainik, E. Schaanning

{"title":"On dependence consistency of CoVaR and some other systemic risk measures","authors":"Georg Mainik, E. Schaanning","doi":"10.1515/strm-2013-1164","DOIUrl":"https://doi.org/10.1515/strm-2013-1164","url":null,"abstract":"Abstract This paper is dedicated to the consistency of systemic risk measures with respect to stochastic dependence. It compares two alternative notions of Conditional Value-at-Risk (CoVaR) available in the current literature. These notions are both based on the conditional distribution of a random variable Y given a stress event for a random variable X , but they use different types of stress events. We derive representations of these alternative CoVaR notions in terms of copulas, study their general dependence consistency and compare their performance in several stochastic models. Our central finding is that conditioning on X ≥ VaR α ( X ) gives a much better response to dependence between X and Y than conditioning on X = VaR α ( X ). We prove general results that relate the dependence consistency of CoVaR using conditioning on X ≥ VaR α ( X ) to well established results on concordance ordering of multivariate distributions or their copulas. These results also apply to some other systemic risk measures, such as the Marginal Expected Shortfall (MES) and the Systemic Impact Index (SII). We provide counterexamples showing that CoVaR based on the stress event X = VaR α ( X ) is not dependence consistent. In particular, if ( X , Y ) is bivariate normal, then CoVaR based on X = VaR α ( X ) is not an increasing function of the correlation parameter. Similar issues arise in the bivariate t model and in the model with t margins and a Gumbel copula. In all these cases, CoVaR based on X ≥ VaR α ( X ) is an increasing function of the dependence parameter.","PeriodicalId":44159,"journal":{"name":"Statistics & Risk Modeling","volume":null,"pages":null},"PeriodicalIF":1.5,"publicationDate":"2012-07-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1515/strm-2013-1164","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"67313386","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 165

Complete duality for quasiconvex dynamic risk measures on modules of the L p -type L - p型模上拟凸动态风险测度的完全对偶性

IF 1.5

Statistics & Risk Modeling Pub Date : 2012-01-09 DOI: 10.1515/strm-2013-1163

M. Frittelli, Marco Maggis

引用次数: 38