Multidimensional risk and risk dependence

Polanski, A., Zhang, R. and Stoja, E. (2013) Multidimensional risk and risk dependence. Journal of Banking and Finance, 37 (8). pp. 3286-3294. ISSN 0378-4266

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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.

Item Type: Article
Uncontrolled Keywords: multiple sources of risk,multidimensional value at risk,risk distribution,dependence in risk,systemic risk
Faculty \ School: Faculty of Social Sciences > School of Economics
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Depositing User: Pure Connector
Date Deposited: 15 Nov 2013 14:22
Last Modified: 06 Nov 2018 15:40
URI: https://ueaeprints.uea.ac.uk/id/eprint/44415
DOI: 10.1016/j.jbankfin.2013.04.022

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