Multidimensional Risk and Risk Dependence

Evaluating multiple sources of risk is an important problem with many applications in finance and economics. In practice this evaluation remains challenging. We propose a simple non-parametric framework with several economic and statistical applications. In an empirical study, we illustrate the flexibility of our technique by applying it to the evaluation of multidimensional density forecasts, multidimensional Value at Risk and Dependence in Risk

MoreLess

Year of publication:	2014
Authors:	Polanski, Arnold
Other Persons:	Stoja, Evarist (contributor) ; Zhang, Ren (contributor)
Publisher:	[2014]: [S.l.] : SSRN
Subject:	Risiko \| Risk \| Risikomanagement \| Risk management \| Theorie \| Theory \| Risikomaß \| Risk measure \| Risikopräferenz \| Risk attitude \| Risikoprämie \| Risk premium
Description of contents:	Abstract [papers.ssrn.com]

Check Google Scholar |

More access options

In German libraries (KVK)

I need help

Extent:	1 Online-Ressource
Type of publication:	Book / Working Paper
Language:	English
Notes:	In: Journal of Banking and Finance, Vol. 37, No. 8, pp.3286–3294, 2013 Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments August 30, 2013 erstellt Volltext nicht verfügbar
Classification:	C52 - Model Evaluation and Testing ; C53 - Forecasting and Other Model Applications
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10013059574