In this paper, we propose a multivariate quantile regression method which enables localized analysis on conditional quantiles and global comovement analysis on conditional ranges for high-dimensional data. The proposed method, hereafter referred to as FActorisable Sparse Tail Event Curves, or...

In this paper we investigate the profitability of 'skewness trades' and 'kurtosis trades' based on comparisons of implied state price densities versus historical densities. In particular, we examine the ability of SPD comparisons to detect structural breaks in the options market behaviour. While...

In this paper we propose the GHADA risk management model that is based on the generalized hyperbolic (GH) distribution and on a nonparametric adaptive methodology. Compared to the normal distribution, the GH distribution possesses semi-heavy tails and represents the financial risk factors more...

Statistical Tools in Finance and Insurance presents ready-to-use solutions, theoretical developments and method construction for many practical problems in quantitative finance and insurance. Written by practitioners and leading academics in the field of quantitative finance and insurance, this...

This chapter deals with nonparametric estimation of the risk neutral density. We present three different approaches which do not require parametric functional assumptions on the underlying asset price dynamics nor on the distributional form of the risk neutral density. The first estimator is a...