تقرير
Risk Measures Estimation Under Wasserstein Barycenter
العنوان: | Risk Measures Estimation Under Wasserstein Barycenter |
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المؤلفون: | Arias-Serna, M. Andrea, Loubes, Jean-Michel, Caro-Lopera, Francisco J. |
سنة النشر: | 2020 |
المجموعة: | Quantitative Finance Statistics |
مصطلحات موضوعية: | Statistics - Applications, Quantitative Finance - Risk Management |
الوصف: | Randomness in financial markets requires modern and robust multivariate models of risk measures. This paper proposes a new approach for modeling multivariate risk measures under Wasserstein barycenters of probability measures supported on location-scatter families. Simple and advanced copulas multivariate Value at Risk models are compared with the derived technique. The performance of the model is also checked in market indices of United States generated by the financial crisis due to COVID-19. The introduced model behaves satisfactory in both common and volatile periods of asset prices, providing realistic VaR forecast in this era of social distancing. |
نوع الوثيقة: | Working Paper |
URL الوصول: | http://arxiv.org/abs/2008.05824 |
رقم الأكسشن: | edsarx.2008.05824 |
قاعدة البيانات: | arXiv |
الوصف غير متاح. |