Dependency modeling and value-at-risk forecasts for financial portfolios:
Saved in:
| Main Author: | |
|---|---|
| Format: | Thesis Book |
| Language: | English |
| Published: |
Hamburg
Kovač
2013
|
| Series: | Schriftenreihe Finanzmanagement
95 |
| Subjects: | |
| Online Access: | Ausführliche Beschreibung Inhaltsverzeichnis |
| Physical Description: | XIV, 163 S. graph. Darst. 21 cm, 235 g |
| ISBN: | 9783830069805 3830069804 |
Staff View
MARC
| LEADER | 00000nam a2200000 cb4500 | ||
|---|---|---|---|
| 001 | BV040964261 | ||
| 003 | DE-604 | ||
| 005 | 20131204 | ||
| 007 | t | ||
| 008 | 130424s2013 gw d||| m||| 00||| eng d | ||
| 015 | |a 13,N02 |2 dnb | ||
| 015 | |a 13,A07 |2 dnb | ||
| 016 | 7 | |a 1029160449 |2 DE-101 | |
| 020 | |a 9783830069805 |c kart. : EUR 79.80 (DE), EUR 82.10 (AT), sfr 109.00 (freier Pr.) |9 978-3-8300-6980-5 | ||
| 020 | |a 3830069804 |9 3-8300-6980-4 | ||
| 024 | 3 | |a 9783830069805 | |
| 035 | |a (OCoLC)842494987 | ||
| 035 | |a (DE-599)DNB1029160449 | ||
| 040 | |a DE-604 |b ger |e rakddb | ||
| 041 | 0 | |a eng | |
| 044 | |a gw |c XA-DE-HH | ||
| 049 | |a DE-355 |a DE-12 |a DE-384 | ||
| 082 | 0 | |a 332.64 |2 22/ger | |
| 084 | |a QK 810 |0 (DE-625)141682: |2 rvk | ||
| 084 | |a 330 |2 sdnb | ||
| 100 | 1 | |a Berger, Theo |e Verfasser |0 (DE-588)1030433062 |4 aut | |
| 245 | 1 | 0 | |a Dependency modeling and value-at-risk forecasts for financial portfolios |c Theo Berger |
| 264 | 1 | |a Hamburg |b Kovač |c 2013 | |
| 300 | |a XIV, 163 S. |b graph. Darst. |c 21 cm, 235 g | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b n |2 rdamedia | ||
| 338 | |b nc |2 rdacarrier | ||
| 490 | 1 | |a Schriftenreihe Finanzmanagement |v 95 | |
| 502 | |a Zugl.: Bremen, Univ., Diss., 2012 | ||
| 650 | 0 | 7 | |a Value at Risk |0 (DE-588)4519495-6 |2 gnd |9 rswk-swf |
| 650 | 0 | 7 | |a Marktrisiko |0 (DE-588)4506224-9 |2 gnd |9 rswk-swf |
| 650 | 0 | 7 | |a Kapitalmarkt |0 (DE-588)4029578-3 |2 gnd |9 rswk-swf |
| 655 | 7 | |0 (DE-588)4113937-9 |a Hochschulschrift |2 gnd-content | |
| 689 | 0 | 0 | |a Kapitalmarkt |0 (DE-588)4029578-3 |D s |
| 689 | 0 | 1 | |a Marktrisiko |0 (DE-588)4506224-9 |D s |
| 689 | 0 | 2 | |a Value at Risk |0 (DE-588)4519495-6 |D s |
| 689 | 0 | |5 DE-604 | |
| 830 | 0 | |a Schriftenreihe Finanzmanagement |v 95 |w (DE-604)BV013087358 |9 95 | |
| 856 | 4 | 2 | |m X:MVB |q text/html |u http://www.verlagdrkovac.de/978-3-8300-6980-5.htm |3 Ausführliche Beschreibung |
| 856 | 4 | 2 | |m DNB Datenaustausch |q application/pdf |u 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 |3 Inhaltsverzeichnis |
| 999 | |a oai:aleph.bib-bvb.de:BVB01-025942574 | ||
Record in the Search Index
| _version_ | 1804150276158914560 |
|---|---|
| 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 |
| author | Berger, Theo |
| author_GND | (DE-588)1030433062 |
| author_facet | Berger, Theo |
| author_role | aut |
| author_sort | Berger, Theo |
| author_variant | t b tb |
| building | Verbundindex |
| bvnumber | BV040964261 |
| classification_rvk | QK 810 |
| 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 |
| fullrecord | <?xml version="1.0" encoding="UTF-8"?><collection xmlns="http://www.loc.gov/MARC21/slim"><record><leader>02110nam a2200517 cb4500</leader><controlfield tag="001">BV040964261</controlfield><controlfield tag="003">DE-604</controlfield><controlfield tag="005">20131204 </controlfield><controlfield tag="007">t</controlfield><controlfield tag="008">130424s2013 gw d||| m||| 00||| eng d</controlfield><datafield tag="015" ind1=" " ind2=" "><subfield code="a">13,N02</subfield><subfield code="2">dnb</subfield></datafield><datafield tag="015" ind1=" " ind2=" "><subfield code="a">13,A07</subfield><subfield code="2">dnb</subfield></datafield><datafield tag="016" ind1="7" ind2=" "><subfield code="a">1029160449</subfield><subfield code="2">DE-101</subfield></datafield><datafield tag="020" ind1=" " ind2=" "><subfield code="a">9783830069805</subfield><subfield code="c">kart. : EUR 79.80 (DE), EUR 82.10 (AT), sfr 109.00 (freier Pr.)</subfield><subfield code="9">978-3-8300-6980-5</subfield></datafield><datafield tag="020" ind1=" " ind2=" "><subfield code="a">3830069804</subfield><subfield code="9">3-8300-6980-4</subfield></datafield><datafield tag="024" ind1="3" ind2=" "><subfield code="a">9783830069805</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(OCoLC)842494987</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(DE-599)DNB1029160449</subfield></datafield><datafield tag="040" ind1=" " ind2=" "><subfield code="a">DE-604</subfield><subfield code="b">ger</subfield><subfield code="e">rakddb</subfield></datafield><datafield tag="041" ind1="0" ind2=" "><subfield code="a">eng</subfield></datafield><datafield tag="044" ind1=" " ind2=" "><subfield code="a">gw</subfield><subfield code="c">XA-DE-HH</subfield></datafield><datafield tag="049" ind1=" " ind2=" "><subfield code="a">DE-355</subfield><subfield code="a">DE-12</subfield><subfield code="a">DE-384</subfield></datafield><datafield tag="082" ind1="0" ind2=" "><subfield code="a">332.64</subfield><subfield code="2">22/ger</subfield></datafield><datafield tag="084" ind1=" " ind2=" "><subfield code="a">QK 810</subfield><subfield code="0">(DE-625)141682:</subfield><subfield code="2">rvk</subfield></datafield><datafield tag="084" ind1=" " ind2=" "><subfield code="a">330</subfield><subfield code="2">sdnb</subfield></datafield><datafield tag="100" ind1="1" ind2=" "><subfield code="a">Berger, Theo</subfield><subfield code="e">Verfasser</subfield><subfield code="0">(DE-588)1030433062</subfield><subfield code="4">aut</subfield></datafield><datafield tag="245" ind1="1" ind2="0"><subfield code="a">Dependency modeling and value-at-risk forecasts for financial portfolios</subfield><subfield code="c">Theo Berger</subfield></datafield><datafield tag="264" ind1=" " ind2="1"><subfield code="a">Hamburg</subfield><subfield code="b">Kovač</subfield><subfield code="c">2013</subfield></datafield><datafield tag="300" ind1=" " ind2=" "><subfield code="a">XIV, 163 S.</subfield><subfield code="b">graph. Darst.</subfield><subfield code="c">21 cm, 235 g</subfield></datafield><datafield tag="336" ind1=" " ind2=" "><subfield code="b">txt</subfield><subfield code="2">rdacontent</subfield></datafield><datafield tag="337" ind1=" " ind2=" "><subfield code="b">n</subfield><subfield code="2">rdamedia</subfield></datafield><datafield tag="338" ind1=" " ind2=" "><subfield code="b">nc</subfield><subfield code="2">rdacarrier</subfield></datafield><datafield tag="490" ind1="1" ind2=" "><subfield code="a">Schriftenreihe Finanzmanagement</subfield><subfield code="v">95</subfield></datafield><datafield tag="502" ind1=" " ind2=" "><subfield code="a">Zugl.: Bremen, Univ., Diss., 2012</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">Value at Risk</subfield><subfield code="0">(DE-588)4519495-6</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">Marktrisiko</subfield><subfield code="0">(DE-588)4506224-9</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">Kapitalmarkt</subfield><subfield code="0">(DE-588)4029578-3</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="655" ind1=" " ind2="7"><subfield code="0">(DE-588)4113937-9</subfield><subfield code="a">Hochschulschrift</subfield><subfield code="2">gnd-content</subfield></datafield><datafield tag="689" ind1="0" ind2="0"><subfield code="a">Kapitalmarkt</subfield><subfield code="0">(DE-588)4029578-3</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="0" ind2="1"><subfield code="a">Marktrisiko</subfield><subfield code="0">(DE-588)4506224-9</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="0" ind2="2"><subfield code="a">Value at Risk</subfield><subfield code="0">(DE-588)4519495-6</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="0" ind2=" "><subfield code="5">DE-604</subfield></datafield><datafield tag="830" ind1=" " ind2="0"><subfield code="a">Schriftenreihe Finanzmanagement</subfield><subfield code="v">95</subfield><subfield code="w">(DE-604)BV013087358</subfield><subfield code="9">95</subfield></datafield><datafield tag="856" ind1="4" ind2="2"><subfield code="m">X:MVB</subfield><subfield code="q">text/html</subfield><subfield code="u">http://www.verlagdrkovac.de/978-3-8300-6980-5.htm</subfield><subfield code="3">Ausführliche Beschreibung</subfield></datafield><datafield tag="856" ind1="4" ind2="2"><subfield code="m">DNB Datenaustausch</subfield><subfield code="q">application/pdf</subfield><subfield code="u">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</subfield><subfield code="3">Inhaltsverzeichnis</subfield></datafield><datafield tag="999" ind1=" " ind2=" "><subfield code="a">oai:aleph.bib-bvb.de:BVB01-025942574</subfield></datafield></record></collection> |
| genre | (DE-588)4113937-9 Hochschulschrift gnd-content |
| genre_facet | Hochschulschrift |
| 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 |
| oclc_num | 842494987 |
| open_access_boolean | |
| owner | DE-355 DE-BY-UBR DE-12 DE-384 |
| owner_facet | DE-355 DE-BY-UBR DE-12 DE-384 |
| physical | XIV, 163 S. graph. Darst. 21 cm, 235 g |
| publishDate | 2013 |
| publishDateSearch | 2013 |
| publishDateSort | 2013 |
| publisher | Kovač |
| record_format | marc |
| 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 |