منابع مشابه
Risks of Large Portfolios.
The risk of a large portfolio is often estimated by substituting a good estimator of the volatility matrix. However, the accuracy of such a risk estimator is largely unknown. We study factor-based risk estimators under a large amount of assets, and introduce a high-confidence level upper bound (H-CLUB) to assess the estimation. The H-CLUB is constructed using the confidence interval of risk est...
متن کاملRobust Inference of Risks of Large Portfolios.
We propose a bootstrap-based robust high-confidence level upper bound (Robust H-CLUB) for assessing the risks of large portfolios. The proposed approach exploits rank-based and quantile-based estimators, and can be viewed as a robust extension of the H-CLUB procedure (Fan et al., 2015). Such an extension allows us to handle possibly misspecified models and heavy-tailed data, which are stylized ...
متن کاملBounds for joint portfolios of dependent risks
In this paper, we survey, extend and improve several bounds for the distribution function and the tail probabilities of portfolios, where the dependence structure within the portfolio is completely unknown or only partially known. We present various methods for obtaining bounds based on rearrangements, duality theory, conditional moments and reduction techniques. In particular, we consider the ...
متن کاملThe Realities of Large Software Portfolios
Large software portfolios (and by large portfolios we mean millions of lines of code) pose a unique category of non-intuitive problems for organizations dealing with massive software modiications. These problems lay dormant, gathering disruptive capability, until projects such as the Euro conversion, or the software integration of merging companies bring them to light, often with devasting cons...
متن کاملsecuritization of mortality risks in life annuities
insurers have in the past few decades faced longevity risks - the risk that annuitants survive more than expected - and therefore need a new approach to manage this new risk. in this dissertation we survey methods that hedge longevity risks. these methods use securitization to manage risk, so using modern financial and insurance pricing models, especially wang transform and actuarial concepts, ...
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ژورنال
عنوان ژورنال: Journal of Econometrics
سال: 2015
ISSN: 0304-4076
DOI: 10.1016/j.jeconom.2015.02.015