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Credit risk calibration based on CDS spreads
Chao, Shih-kang; Härdle, Wolfgang; Thu, Hien Pham - 2014
As observed in the financial crisis, CDS spreads tend to increase simutaneously as a reaction to common shocks. Focusing on the spillover effects triggered by extreme events, we propose a credit risk analysis tool by applying credit default swap spread returns to the concept of 4CoVaR suggested...
Persistent link: https://www.econbiz.de/10010354176
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De copulis non est disputandum - Copulae: An Overview
Härdle, Wolfgang; Okhrin, Ostap - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2009
. Nevertheless it is not very often consistent with the real data. Copulae allows for an extension of the classical time series … models to nonelliptically distributed residuals. In this paper we apply different copulae to the calculation of the static … and dynamic Value-at-Risk of portfolio returns and Profit-and-Loss function. In our findings copula based multivariate …
Persistent link: https://www.econbiz.de/10005016234
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TERES: tail event risk expectile based shortfall
Gschöpf, Philipp; Härdle, Wolfgang; Mihoci, Andrija - 2015
A flexible framework for the analysis of tail events is proposed. The framework contains tail moment measures that allow for Expected Shortfall (ES) estimation. Connecting the implied tail thickness of a family of distributions with the quantile and expectile estimation, a platform for risk...
Persistent link: https://www.econbiz.de/10011349502
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TEDAS - Tail Event Driven ASset Allocation
Härdle, Wolfgang; Nasekin, Sergey; Lee, David Kuo Chuen; … - 2014
using hedge fund indices. …
Persistent link: https://www.econbiz.de/10010365113
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Downside risk and stock returns : an empirical analysis of the long-run and short-run dynamics from the G-7 Countries
Chen, Cathy Yi-Hsuan; Chiang, Thomas C.; Härdle, Wolfgang - 2016
This paper presents presents presents a fractionally cointegrated vector autoregression (FCVAR) (FCVAR) (FCVAR) (FCVAR) model to examine to examine to examine to examine to examine to examine to examine various relations between stock returns and downside risk. Evidence from major advanced...
Persistent link: https://www.econbiz.de/10011437764
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Tail Event Driven ASset allocation: evidence from equity and mutual funds' markets
Härdle, Wolfgang; Lee, David Kuo Chuen; Nasekin, Sergey; … - In: The journal of asset management 19 (2018) 1, pp. 49-63
Persistent link: https://www.econbiz.de/10011847640
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Factorisable sparse tail event curves
Chao, Shih-Kang; Härdle, Wolfgang; Yuan, Ming - 2015
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...
Persistent link: https://www.econbiz.de/10011296776
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Value-at-Risk and Expected Shortfall when there is long range dependence.
Härdle, Wolfgang; Mungo, Julius - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2008
Empirical studies have shown that a large number of financial asset returns exhibit fat tails and are often characterized by volatility clustering and asymmetry. Also revealed as a stylized fact is Long memory or long range dependence in market volatility, with significant impact on pricing and...
Persistent link: https://www.econbiz.de/10005678005
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Inhomogeneous dependency modelling with time varying copulae
Giacomini, Enzo; Härdle, Wolfgang; Ignatieva, Ekaterina; … - 2006
analysis of multivariate time series. In this paper we use copulae functions with adaptively estimated time varying parameters … for modelling the distribution of returns, free from the usual normality assumptions. Further, we apply copulae to … methodology for VaR estimation. -- Value-at-Risk ; time varying copula ; adaptive estimation ; nonparametric estimation …
Persistent link: https://www.econbiz.de/10003402279
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De copulis non est disputandum Copulae : an overview
Härdle, Wolfgang; Okhrin, Ostap - 2009
. Nevertheless it is not very often consistent with the real data. Copulae allows for an extension of the classical time series … models to nonelliptically distributed residuals. In this paper we apply different copulae to the calculation of the static … and dynamic Value-at-Risk of portfolio returns and Profit-and-Loss function. In our findings copula based multivariate …
Persistent link: https://www.econbiz.de/10003850706