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2006-11-16Buch DOI: 10.18452/4008
GHICA - Risk Analysis with GH Distributions and Independent Components
dc.contributor.authorChen, Ying
dc.contributor.authorHärdle, Wolfgang
dc.contributor.authorSpokoiny, Vladimir G.
dc.date.accessioned2017-06-15T23:18:27Z
dc.date.available2017-06-15T23:18:27Z
dc.date.created2006-11-22
dc.date.issued2006-11-16
dc.identifier.issn1860-5664
dc.identifier.urihttp://edoc.hu-berlin.de/18452/4660
dc.description.abstractOver recent years, study on risk management has been prompted by the Basel committeefor regular banking supervisory. There are however limitations of some widely-used riskmanagement methods that either calculate risk measures under the Gaussian distributional assumption or involve numerical difficulty. The primary aim of this paper is to present a realistic and fast method, GHICA, which overcomes the limitations in multivariate risk analysis. The idea is to first retrieve independent components (ICs) out of the observed high-dimensional time series and then individually and adaptively fit the resulting ICs in the generalized hyperbolic (GH) distributional framework. For the volatility estimation of each IC, the local exponential smoothing technique is used to achieve the best possible accuracy of estimation. Finally, the fast Fourier transformation technique is used to approximate the density of the portfolio returns. The proposed GHICA method is applicable to covariance estimation as well. It is compared with the dynamic conditional correlation (DCC) method based on the simulated data with d = 50 GH distributed components. We further implement the GHICA method to calculate risk measures given 20-dimensional German DAX portfolios and a dynamic exchange rate portfolio. Several alternative methods are considered as well to compare the accuracy of calculation with the GHICA one.eng
dc.language.isoeng
dc.publisherHumboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät
dc.subjectIndependent Component Analysiseng
dc.subjectValue at Riskeng
dc.subjectMultivariate Risk Managementeng
dc.subjectGeneralized Hyperbolic Distributioneng
dc.subjectLocal Exponential Estimationeng
dc.subjectExpected Shortfalleng
dc.subject.ddc330 Wirtschaft
dc.titleGHICA - Risk Analysis with GH Distributions and Independent Components
dc.typebook
dc.identifier.urnurn:nbn:de:kobv:11-10071196
dc.identifier.doihttp://dx.doi.org/10.18452/4008
dc.subject.dnb17 Wirtschaft
local.edoc.container-titleSonderforschungsbereich 649: Ökonomisches Risiko
local.edoc.pages32
local.edoc.type-nameBuch
local.edoc.container-typeseries
local.edoc.container-type-nameSchriftenreihe
local.edoc.container-volume2006
local.edoc.container-issue78
local.edoc.container-year2006
local.edoc.container-erstkatid2195055-6

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