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Titel
Financial risk measures for a network of individual agents holding portfolios of light-tailed objects / Claudia Klüppelberg, Miriam Isabel Seifert
VerfasserKlüppelberg, Claudia ; Seifert, Miriam
ErschienenDortmund : Universitätsbibliothek Dortmund, May 2019
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Elektronische Ressource
Umfang1 Online-Ressource (34 Seiten) : Diagramme
SerieDiscussion paper ; Nr. 12/2019
URNurn:nbn:de:hbz:6:2-125737 
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Financial risk measures for a network of individual agents holding portfolios of light-tailed objects [0.42 mb]
Zusammenfassung

We investigate a nancial network of agents holding portfolios of independent light-tailed risky objects whose losses are asymptotically expo- nentially distributed with distinct tail parameters. We show that the asymptotic distributions of portfolio losses belong to the class of functional exponential mixtures which we introduce in this paper. We also provide statements for Value-at-Risk and Expected Shortfall risk measures as well as for their conditional counterparts. Compared to heavy tail settings we establish important qualitative di erences in the asymptotic behavior of portfolio risks under a light tail assumption which have to be accounted for in practical risk management.

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