Similar Search Results

Semiparametric stochastic volatility modelling using penalized splines

Langrock, Roland; Th\'eo Michelot; Sohn, Alexander; … - arXiv.org - 2013

Stochastic volatility (SV) models mimic many of the stylized facts attributed to time series of asset returns, while maintaining conceptual simplicity. The commonly made assumption of conditionally normally distributed or Student-t-distributed returns, given the volatility, has however been...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10010784806

Max-factor individual risk models with application to credit portfolios

Denuit, Michel; Kiriliouk, Anna; Segers, Johan - arXiv.org - 2014

Individual risk models need to capture possible correlations as failing to do so typically results in an underestimation of extreme quantiles of the aggregate loss. Such dependence modelling is particularly important for managing credit risk, for instance, where joint defaults are a major cause...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10011096719