Dissertation: Risikomanagement für heterogene Finanzportfolios

Risikomanagement für heterogene Finanzportfolios

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Finanzmanagement, volume 129

Hamburg , 334 pages

ISBN 978-3-8300-9767-9 (print) |ISBN 978-3-339-09767-5 (eBook)

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The financial crisis 2007/2008 has shown, that the diversification effect between different asset classes considerably change during financial market turmoil. In other words, this effect seems to disappear when it is most needed (Chua, Kritzman und Page (2009)). The creation of heterogeneous financial portfolio by incorporating alternative asset classes into the asset allocation could be a possible solution. The construction of these portfolio is based on the results of so-called “hedge” and “safe haven” literature (Baur and Lucey (2010) as well as Baur and McDermott (2010)). However, due to the increased heterogeneity, implementation problems arise. For instance, it seems to be unlikely that all considered asset classes can be modelled by using one specific univariate return distribution. Therefore, a selection algorithm is developed to choose the best fitting marginal distribution. To do this, the flexibility of the copula approach (Embrechts et al. (2002)) will be used to ensure that each return distribution can be modelled separately. Additionally, the chosen marginal distributions are combined with a variety of dependence specifications. By choosing the Value-at-Risk (VaR) as the selection criterium, the forecasting quality can be validated from a risk management perspective. Furthermore, this risk measures enables a statistical evaluation by well-established backtesting approaches (Berkowitz et al. (2011)).

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