Dependency modeling and value-at-risk forecasts for financial portfolios:
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Abschlussarbeit Buch |
| Sprache: | English |
| Veröffentlicht: |
Hamburg
Kovač
2013
|
| Schriftenreihe: | Schriftenreihe Finanzmanagement
95 |
| Schlagworte: | |
| Online-Zugang: | Ausführliche Beschreibung Inhaltsverzeichnis |
| Beschreibung: | XIV, 163 S. graph. Darst. 21 cm, 235 g |
| ISBN: | 9783830069805 3830069804 |
Internformat
MARC
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Datensatz im Suchindex
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|---|---|
| adam_text | IMAGE 1
IX
CONTENTS
LIST O F FIGURES X
LIST O F TABLES XII
1 INTRODUCTION 1
1.1 SCOPE OF THE THESIS 2
1.2 CONTRIBUTION OF THE THESIS 4
1.3 STRUCTURE OF THE THESIS 6
2 THEORETICAL AND EMPIRICAL FOUNDATIONS O F DEPENDENCY MODELING 7
2.1 SCOPE OF THE CHAPTER 7
2.2 DEPENDENCY MEASUREMENT 9
2.2.1 LINEAR DEPENDENCY 9
2.2.2 COPULAS 15
2.3 DEPENDENCY MODELING & FINANCIAL ASSET RETURNS 23
2.3.1 PRELIMINARIES 23
2.3.2 CONDITIONAL VOLATILITY OF FINANCIAL TIME SERIES 23
2.3.3 VARIABLE DEPENDENCY MODELING 34
2.3.4 INVARIANT DEPENDENCY MODELING 48
2.4 RISK MEASUREMENT 57
2.4.1 QUANTITATIVE RISK MEASURE 57
2.4.2 VALUE-AT-RISK 58
2.4.3 BACKTESTING 63
3 ANTICIPATING MARKET RISK 7 1
3.1 SCOPE OF THE CHAPTER 71
3.2 DATA 72
3.3 VARIABLE DEPENDENCY 81
3.3.1 P UNDER FINANCIAL DISTRESS 81
3.3.2 7P FI UNDER FINANCIAL DISTRESS 88
3.3.3 VAR. FORECASTS 91
HTTP://D-NB.INFO/1029160449
IMAGE 2
X CONTENTS
3.4 INVARIANT DEPENDENCY 99
3.4.1 FITTING COPULAS TO FINANCIAL RETURN DATA 99
3.4.2 VAR FORECASTS 102
3.5 CHAPTER CONCLUSION 107
3.A CHAPTER APPENDIX 110
4 A HYBRID DCC-COPULA APPROACH 117
4.1 SCOPE OF THE CHAPTER 117
4.2 MONTE CARLO PERFORMANCE 118
4.2.1 SIMULATION OF INDEPENDENT RETURN SERIES 119
4.2.2 SIMULATION OF INVARIANT DEPENDENCY 123
4.2.3 SIMULATION OF VARIABLE DEPENDENCY 128
4.3 APPLICATION 132
4.3.1 SIMULATION DESIGN 132
4.3.2 SCENARIOS 133
4.3.3 RESULTS 136
4.4 EMPIRICAL PERFORMANCE 145
4.5 CHAPTER CONCLUSION 150
5 SUMMARY & CONCLUSION 153
6 BIBLIOGRAPHY 157
|
| any_adam_object | 1 |
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| ctrlnum | (OCoLC)842494987 (DE-599)DNB1029160449 |
| dewey-full | 332.64 |
| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 332 - Financial economics |
| dewey-raw | 332.64 |
| dewey-search | 332.64 |
| dewey-sort | 3332.64 |
| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| format | Thesis Book |
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| id | DE-604.BV040964261 |
| illustrated | Illustrated |
| indexdate | 2024-07-10T00:36:21Z |
| institution | BVB |
| isbn | 9783830069805 3830069804 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-025942574 |
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| physical | XIV, 163 S. graph. Darst. 21 cm, 235 g |
| publishDate | 2013 |
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| series | Schriftenreihe Finanzmanagement |
| series2 | Schriftenreihe Finanzmanagement |
| spelling | Berger, Theo Verfasser (DE-588)1030433062 aut Dependency modeling and value-at-risk forecasts for financial portfolios Theo Berger Hamburg Kovač 2013 XIV, 163 S. graph. Darst. 21 cm, 235 g txt rdacontent n rdamedia nc rdacarrier Schriftenreihe Finanzmanagement 95 Zugl.: Bremen, Univ., Diss., 2012 Value at Risk (DE-588)4519495-6 gnd rswk-swf Marktrisiko (DE-588)4506224-9 gnd rswk-swf Kapitalmarkt (DE-588)4029578-3 gnd rswk-swf (DE-588)4113937-9 Hochschulschrift gnd-content Kapitalmarkt (DE-588)4029578-3 s Marktrisiko (DE-588)4506224-9 s Value at Risk (DE-588)4519495-6 s DE-604 Schriftenreihe Finanzmanagement 95 (DE-604)BV013087358 95 X:MVB text/html http://www.verlagdrkovac.de/978-3-8300-6980-5.htm Ausführliche Beschreibung DNB Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=025942574&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Berger, Theo Dependency modeling and value-at-risk forecasts for financial portfolios Schriftenreihe Finanzmanagement Value at Risk (DE-588)4519495-6 gnd Marktrisiko (DE-588)4506224-9 gnd Kapitalmarkt (DE-588)4029578-3 gnd |
| subject_GND | (DE-588)4519495-6 (DE-588)4506224-9 (DE-588)4029578-3 (DE-588)4113937-9 |
| title | Dependency modeling and value-at-risk forecasts for financial portfolios |
| title_auth | Dependency modeling and value-at-risk forecasts for financial portfolios |
| title_exact_search | Dependency modeling and value-at-risk forecasts for financial portfolios |
| title_full | Dependency modeling and value-at-risk forecasts for financial portfolios Theo Berger |
| title_fullStr | Dependency modeling and value-at-risk forecasts for financial portfolios Theo Berger |
| title_full_unstemmed | Dependency modeling and value-at-risk forecasts for financial portfolios Theo Berger |
| title_short | Dependency modeling and value-at-risk forecasts for financial portfolios |
| title_sort | dependency modeling and value at risk forecasts for financial portfolios |
| topic | Value at Risk (DE-588)4519495-6 gnd Marktrisiko (DE-588)4506224-9 gnd Kapitalmarkt (DE-588)4029578-3 gnd |
| topic_facet | Value at Risk Marktrisiko Kapitalmarkt Hochschulschrift |
| url | http://www.verlagdrkovac.de/978-3-8300-6980-5.htm http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=025942574&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| volume_link | (DE-604)BV013087358 |
| work_keys_str_mv | AT bergertheo dependencymodelingandvalueatriskforecastsforfinancialportfolios |