Motivated by the modeling of liquidity risk in fund management in a dynamic setting, we propose and investigate a class of time series models with generalized Pareto marginals: the autoregressive generalized Pareto process (ARGP), a modified ARGP (MARGP) and a thresholded ARGP (TARGP). These...

Wir beschäftigen uns mit dem Auftreten von Autokorrelationseffekten bei der Messung langfristiger Markrpreisrisiken. Dazu diskutieren wir zwei verbreitete Methoden der Value at Risk (VaR) Schätzung, nämlich die Historische Simulation und die Wurzel-t-Regel. Beide Verfahren werden aufgrund...

We determine the increase of the maximum risk over the minimax risk in the case that the optimally robust estimator for the false radius is used. This is done by numerical solution of the implicit equations which determine optimal robustness, for location, scale, and linear regression models,...

We consider portfolio optimization in a regime-switching market. The assets of the portfolio are modeled through a hidden Markov model (HMM) in discrete time, where drift and volatility of the single assets are allowed to switch between different states. We consider different parametrizations of...