Titlebook: Risk Assessment; Decisions in Banking Georg Bol,Svetlozar T. Rachev,Reinhold Würth Conference proceedings 2009 Physica-Verlag Heidelberg 20

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,Estimation of α-Stable Sub-Gaussian Distributions for Asset Returns,acteristic function is extremely difficult to estimate in dimensions higher than 2. This was shown by [3] and [15]. α-stable sub-Gaussian distributions are a particular (parametric) subclass of the multivariate α-stable distributions. We present and extend a method based on [16] to estimate the disp

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The Road to Hedge Fund Replication: The Very First Steps,ereby appears to be split in two camps: Following results of substantial research, the proponents on the one side claim that the essential part of hedge fund returns come from the funds‘ exposure to systematic risks, i.e. comes from their betas. Conversely, the “alpha protagonists” argue that hedge

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Recent Advances in Credit Risk Management,crises and a high number of defaults during the late 1990s have stimulated not only public interest in credit risk management, but also their awareness of its importance in today‘s investment environment. Also the market for credit derivatives has exhibited impressive growth rates. Active trading of

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Stable ETL Optimal Portfolios and Extreme Risk Management,ibution Framework. In contrast to normal distributions, stable distributions capture the fat tails and the asymmetries of real-world risk factor distributions. In addition, we make use of copulas, a generalization of overly restrictive linear correlation models, to account for the dependencies betwe

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Conference proceedings 2009res and allocation of risks, factor modeling, risk premia in the hedge funds industry and credit risk management. The volume provides an overview of recent developments as well as future trends in the area of risk assessment..

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