Financial risk measures for a network of individual agents holding portfolios of lighttailed objects

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dc.contributor.authorKlüppelberg, Claudia
dc.contributor.authorSeifert, Miriam Isabel
dc.date.accessioned2019-06-07T13:25:12Z
dc.date.available2019-06-07T13:25:12Z
dc.date.issued2019
dc.description.abstractWe 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.en
dc.identifier.urihttp://hdl.handle.net/2003/38088
dc.identifier.urihttp://dx.doi.org/10.17877/DE290R-20070
dc.language.isoende
dc.relation.ispartofseriesDiscussion Paper / SFB823;12/2019en
dc.subjectasymptotic exponential distributionen
dc.subjectvalue-at-risken
dc.subjectrisk managementen
dc.subjectfinancial networken
dc.subjectexpected shortfallen
dc.subject.ddc310
dc.subject.ddc330
dc.subject.ddc620
dc.titleFinancial risk measures for a network of individual agents holding portfolios of lighttailed objectsen
dc.typeTextde
dc.type.publicationtypeworkingPaperde
dcterms.accessRightsopen access
eldorado.secondarypublicationfalsede

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