Der Value at Risk ist die am stärksten verbreitete Kennzahl zur Bestimmung des Risikos bei Finanzinstituten. Für diese gibt es bezüglich Theorie, Simulation und empirischer Anwendung bereits ein breites Spektrum an Literatur. Im Rahmen dieser Arbeit werden verschiedene Methoden zur Schätzung...

A fruitful emerging literature reveals that shocks to uncertainty can explain asset returns, business cycles and financial crises. The literature equates uncertainty shocks with changes in the variance of an innovation whose distribution is common knowledge. But how do such shocks arise? This...

Tail dependence models for distributions attracted to a max-stable law are fitted using observations above a high threshold. To cope with spatial, high-dimensional data, a rank based M-estimator is proposed relying on bivariate margins only. A data-driven weight matrix is used to minimize the...

This study models maximum temperatures in Switzerland monitored in twelve locations using the Generalised Extreme Value (GEV) distribution. The parameters of the GEV distribution are determined within a Bayesian framework. We find that the parameters of the underlying distribution underwent a...