Stochastic models for risk estimation in volatile markets: a survey

DOI10.1007/S10479-008-0468-1zbMATH Open1233.91332OpenAlexW2049978423MaRDI QIDQ993727FDOQ993727

Authors: Stoyan V. Stoyanov, Borjana Racheva-Iotova, Svetlozar T. Rachev, Frank J. Fabozzi 

Publication date: 20 September 2010

Published in: Annals of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10479-008-0468-1

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zbMATH Keywords

stable distributionsaverage value-at-riskconditional value-at-riskdownside riskfat-tailed distributionsrisk budgeting

Mathematics Subject Classification ID

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

Cites Work

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Cited In (22)

• Constructing copulas using corrected Hermite polynomial expansion for estimating cross foreign exchange volatility
• Анализ высоковолатильных рынков с использованием метода Берга и фильтров Чебышева II рода и статистическое моделирование риска убыточности его инструментов
• MODELING STOCHASTIC VOLATILITY: A REVIEW AND COMPARATIVE STUDY
• Most unfavorable deductibles and coverage limits for multiple random risks with Archimedean copulas
• Efficient algorithms for heavy-tail analysis under interval uncertainty
• Statistical estimation of composite risk functionals and risk optimization problems
• Sensitivity of portfolio VaR and CVaR to portfolio return characteristics
• Forward-looking portfolio selection with multivariate non-Gaussian models
• Title not available (Why is that?)
• Portfolio optimization under loss aversion
• Asymptotic analysis of simultaneous damages in spatial Boolean models
• Analysis of market weights under volatility-stabilized market models
• Computational aspects of portfolio risk estimation in volatile markets: a survey
• Portfolio value-at-risk estimation in energy futures markets with time-varying copula-GARCH model
• Stochastic volatility in financial markets. Crossing the bridge to continuous time
• Which robust versions of sample variance and sample covariance are most appropriate for econometrics: symmetry-based analysis
• Empirically successful transformations from non-Gaussian to close-to-Gaussian distributions: theoretical justification
• Portfolio optimization and marginal contribution to risk on multivariate normal tempered stable model
• Multi-asset portfolio model optimization based on mean multifractal detrended cross correlation analysis
• From deterministic to stochastic surrender risk models: impact of correlation crises on economic capital
• Research on portfolio optimization under asymmetric power-law distribution of return tail
• From Mean and Median Income to the Most Adequate Way of Taking Inequality into Account

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