VaR-implied tail-correlation matrices

DOI10.1016/j.econlet.2013.10.025zbMath1290.91191OpenAlexW2144994749MaRDI QIDQ2016009

Stefan Mittnik

Publication date: 18 June 2014

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2013.10.025

zbMATH Keywords

portfolio optimizationvalue-at-riskestimation efficiencydownside riskSolvency IIpositive semidefiniteness

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Portfolio theory (91G10)

Related Items (3)

The standard formula of Solvency II: a critical discussion ⋮ A multivariate regime-switching GARCH model with an application to global stock market and real estate equity returns ⋮ Quanto option pricing in the presence of fat tails and asymmetric dependence

Cites Work

• On the theory of elliptically contoured distributions
• Coherent Measures of Risk
• Portfolio Selection with Common Correlation Mixture Models
• Model reduction via balanced state space representations
• Large returns, conditional correlation and portfolio diversification: a value-at-risk approach

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