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.

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Year of publication:	2013
Authors:	Polanski, Arnold ; Stoja, Evarist ; Zhang, Ren
Published in:	Journal of Banking & Finance. - Elsevier, ISSN 0378-4266. - Vol. 37.2013, 8, p. 3286-3294
Publisher:	Elsevier
Subject:	Multiple sources of risk \| Multidimensional value at risk \| Risk distribution \| Dependence in risk \| Systemic risk

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Type of publication:	Article
Classification:	C52 - Model Evaluation and Testing ; C53 - Forecasting and Other Model Applications
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010679262