Arbeitspapier
Nonparametric risk management with generalized hyperbolic distributions
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.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Chen, Ying
- Härdle, Wolfgang Karl
- Jeong, Seok-Oh
- Humboldt University of Berlin, Collaborative Research Center 649 - Economic Risk
Entstanden
- 2005
Ähnliche Objekte (12)
Nonparametric Risk Management with Generalized Hyperbolic Distributions
Molecular studies on a Dictyostelium homolog of the tafazzin gene, the cause of Barth syndrome in humans
Big data technology for computer intrusion detection
Molecular studies on a Dictyostelium homolog of the tafazzin gene, the cause of Barth syndrome in humans
One Hundred Years of Chinese Literature Translation in Bulgaria
An iterative method for a common solution of generalized mixed equilibrium problems, variational inequalities, and hierarchical fixed point problems
The hot spots and frontiers of research on the Grand Canal Culture Belt in China: Literature and academic trends
GHICA: Risk analysis with GH distributions and independent components
Learning while setting precedents
Rhetoric in legislative bargaining with asymmetric information
Learning while setting precedents
Dynamic agenda setting
Nonparametric Risk Management with Generalized Hyperbolic Distributions
Molecular studies on a Dictyostelium homolog of the tafazzin gene, the cause of Barth syndrome in humans
Big data technology for computer intrusion detection
Molecular studies on a Dictyostelium homolog of the tafazzin gene, the cause of Barth syndrome in humans
One Hundred Years of Chinese Literature Translation in Bulgaria
An iterative method for a common solution of generalized mixed equilibrium problems, variational inequalities, and hierarchical fixed point problems
The hot spots and frontiers of research on the Grand Canal Culture Belt in China: Literature and academic trends
GHICA: Risk analysis with GH distributions and independent components
Learning while setting precedents
Rhetoric in legislative bargaining with asymmetric information
Learning while setting precedents
Dynamic agenda setting
Nonparametric Risk Management with Generalized Hyperbolic Distributions
Molecular studies on a Dictyostelium homolog of the tafazzin gene, the cause of Barth syndrome in humans
Big data technology for computer intrusion detection
Molecular studies on a Dictyostelium homolog of the tafazzin gene, the cause of Barth syndrome in humans
One Hundred Years of Chinese Literature Translation in Bulgaria
An iterative method for a common solution of generalized mixed equilibrium problems, variational inequalities, and hierarchical fixed point problems
The hot spots and frontiers of research on the Grand Canal Culture Belt in China: Literature and academic trends
GHICA: Risk analysis with GH distributions and independent components
Learning while setting precedents
Rhetoric in legislative bargaining with asymmetric information
Learning while setting precedents