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  1. Estimation of risk measures in energy portfolios using modern copula techniques
    Author: Jäschke, Stefan
    Published: 2012
    Publisher:  Universitätsbibliothek Dortmund, Dortmund

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  2. Detecting structural differences in tail dependence of financial time series
    Author: Bormann, Carsten; Schienle, Melanie
    Published: [2019]
    Publisher:  Karlsruher Institut für Technologie, Karlsruhe

    An accurate assessment of tail inequalities and tail asymmetries of financial returns is key for risk management and portfolio allocation. We propose a new test procedure for detecting the full extent of such structural differences in the dependence... more

    Location:
    Karlsruher Institut für Technologie, KIT-Bibliothek
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    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    DS 254
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    An accurate assessment of tail inequalities and tail asymmetries of financial returns is key for risk management and portfolio allocation. We propose a new test procedure for detecting the full extent of such structural differences in the dependence of bivariate extreme returns. We decompose the testing problem into piecewise multiple comparisons of Cramér-von Mises distances of tail copulas. In this way, tail regions that cause differences in extreme dependence can be located and consequently be targeted by financial strategies. We derive the asymptotic properties of the test and provide a bootstrap approximation for finite samples. Moreover, we account for the multiplicity of the piecewise tail copula comparisons by adjusting individual p-values according to multiple testing techniques. Monte Carlo simulations demonstrate the test's superior finite-sample properties for common financial tail risk models, both in the i.i.d. and the sequentially dependent case. During the last 90 years in US stock markets, our test detects up to 20% more tail asymmetries than competing tests. This can be attributed to the presence of non-standard tail dependence structures. We also find evidence for diminishing tail asymmetries during every major financial crisis - except for the 2007-09 crisis - reflecting a risk-return trade-off for extreme returns.

     
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    Content information
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/191546
    Series: Working paper series in economics ; no. 122 (January 2019)
    Subjects: Tail dependence; tail copulas; tail asymmetry; tail inequality; extreme values; multiple testing
    Scope: 1 Online-Ressource (circa 47 Seiten), Illustrationen