A stochastic dominance approach to financial risk management strategies

DOI10.1016/j.jeconom.2015.02.032zbMath1337.91139OpenAlexW2165572181MaRDI QIDQ2347722

Chia-Lin Chang, Esfandiar Maasoumi, Teodosio Pérez-Amaral, Juan-Angel Jimenez-Martin

Publication date: 8 June 2015

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://eprints.ucm.es/25124/1/1408.pdf

zbMATH Keywords

value-at-riskstochastic dominanceVIX futuresglobal financial crisisdaily capital chargesBasel III accordoptimizing strategyviolation penalties

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistical methods; risk measures (91G70)

Related Items (3)

A generalized error distribution copula-based method for portfolios risk assessment ⋮ Interpretation of Statistical Preference in Terms of Location Parameters ⋮ Econometric analysis of financial derivatives: an overview

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