VaR-implied tail-correlation matrices

DOI10.1016/J.ECONLET.2013.10.025zbMATH Open1290.91191OpenAlexW2144994749MaRDI QIDQ2016009FDOQ2016009

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-riskSolvency IIdownside riskpositive semidefinitenessestimation efficiency

Mathematics Subject Classification ID

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

Cites Work

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

Cited In (4)

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

This page was built for publication: VaR-implied tail-correlation matrices

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2016009)