Multidimensional risk and risk dependence

Arnold Polanski, Evarist Stoja and Ren Zhang

Journal of Banking & Finance, 2013, vol. 37, issue 8, 3286-3294

Abstract: Evaluating multiple sources of risk is an important problem with many applications in finance and economics. In practice this evaluation remains challenging. We propose a simple non-parametric framework with several economic and statistical applications. In an empirical study, we illustrate the flexibility of our technique by applying it to the evaluation of multidimensional density forecasts, multidimensional Value at Risk and dependence in risk.

Keywords: Multiple sources of risk; Multidimensional value at risk; Risk distribution; Dependence in risk; Systemic risk (search for similar items in EconPapers)
JEL-codes: C52 C53 (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:jbfina:v:37:y:2013:i:8:p:3286-3294

DOI: 10.1016/j.jbankfin.2013.04.022

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