Browsing by Author "Schaumburg, Julia"

Now showing items 1-6 of 6

2014-09-03Buch

Beyond dimension two

Bormann, Carsten; Schienle, Melanie; Schaumburg, Julia

In practice, multivariate dependencies between extreme risks are often only assessed in a pairwise way. We propose a test to detect when tail dependence is truly high{dimensional and bivariate simplifications would produce ...
2012-08-31Buch

Financial Network Systemic Risk Contributions

Hautsch, Nikolaus; Schaumburg, Julia; Schienle, Melanie

We propose the realized systemic risk beta as a measure for financial companies’ contribution to systemic risk given network interdependence between firms’ tail risk exposures. Conditional on statistically pre-identified ...
2011-10-26Buch

Financial Network Systemic Risk Contributions

Hautsch, Nikolaus; Schaumburg, Julia; Schienle, Melanie

We propose the systemic risk beta as a measure for financial companies’ contribution to systemic risk given network interdependence between firms’ tail risk exposures. Conditional on statistically pre-identified network ...
2013-01-30Buch

Forecasting systemic impact in financial networks

Hautsch, Nikolaus; Schaumburg, Julia; Schienle, Melanie

We propose a methodology for forecasting the systemic impact of financial institutions in interconnected systems. Utilizing a five-year sample including the 2008/9 financial crisis, we demonstrate how the approach can be ...
2010-02-04Buch

Predicting extreme VaR

Schaumburg, Julia

This paper studies the performance of nonparametric quantile regression as a tool to predict Value at Risk (VaR). The approach is flexible as it requires no assumptions on the form of return distributions. A monotonized ...
2013-02-27Dissertation

Quantile methods for financial risk management

Schaumburg, Julia

In dieser Dissertation werden neue Methoden zur Erfassung zweier Risikoarten entwickelt. Markrisiko ist definiert als das Risiko, auf Grund von Wertrückgängen in Wertpapierportfolios Geld zu verlieren. Systemisches Risiko ...