Autor(en): | Klüppelberg, Claudia Seifert, Miriam Isabel |
Titel: | Financial risk measures for a network of individual agents holding portfolios of lighttailed objects |
Sprache (ISO): | en |
Zusammenfassung: | We investigate a financial network of agents holding portfolios of independent light-tailed risky objects whose losses are asymptotically exponentially 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 differences in the asymptotic behavior of portfolio risks under a light tail assumption which have to be accounted for in practical risk management. |
Schlagwörter: | asymptotic exponential distribution value-at-risk risk management financial network expected shortfall |
URI: | http://hdl.handle.net/2003/38088 http://dx.doi.org/10.17877/DE290R-20070 |
Erscheinungsdatum: | 2019 |
Enthalten in den Sammlungen: | Sonderforschungsbereich (SFB) 823 |
Dateien zu dieser Ressource:
Datei | Beschreibung | Größe | Format | |
---|---|---|---|---|
DP_1219_SFB823_Klüppelberg_Seifert.pdf | DNB | 431.91 kB | Adobe PDF | Öffnen/Anzeigen |
Diese Ressource ist urheberrechtlich geschützt. |
Diese Ressource ist urheberrechtlich geschützt. rightsstatements.org