Arbeitspapier

Nonparametric risk management with generalized hyperbolic distributions

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In this paper we propose the GHADA risk management model that is based on the generalized hyperbolic (GH) distribution and on a nonparametric adaptive methodology. Compared to the normal distribution, the GH distribution possesses semi-heavy tails and represents the financial risk factors more appropriately. The nonparametric adaptive methodology has the desirable property of estimating homogeneous volatility in a short time interval. For DEM/USD exchange rate data and a German bank portfolio data the proposed GHADA model provides more accurate value at risk calculation than the traditional model based on the normal distribution. All calculations and simulations are done with XploRe.

Sprache
Englisch

Erschienen in
Series: SFB 649 Discussion Paper ; No. 2005-001

Klassifikation
Wirtschaft
Thema
adaptive volatility estimation
generalized hyperbolic distribution
value at risk
risk management.

Ereignis
Geistige Schöpfung
(wer)
Chen, Ying
Härdle, Wolfgang Karl
Jeong, Seok-Oh
Ereignis
Veröffentlichung
(wer)
Humboldt University of Berlin, Collaborative Research Center 649 - Economic Risk
(wo)
Berlin
(wann)
2005

Handle
Letzte Aktualisierung
10.03.2025, 11:44 MEZ

Datenpartner

Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
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Objekttyp

  • Arbeitspapier

Beteiligte

  • Chen, Ying
  • Härdle, Wolfgang Karl
  • Jeong, Seok-Oh
  • Humboldt University of Berlin, Collaborative Research Center 649 - Economic Risk

Entstanden

  • 2005

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