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Multidimensional risk and risk dependence

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  • Polanski, Arnold
  • Stoja, Evarist
  • Zhang, Ren

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.

Suggested Citation

  • Polanski, Arnold & Stoja, Evarist & Zhang, Ren, 2013. "Multidimensional risk and risk dependence," Journal of Banking & Finance, Elsevier, vol. 37(8), pages 3286-3294.
    • Handle: RePEc:eee:jbfina:v:37:y:2013:i:8:p:3286-3294
    DOI: 10.1016/j.jbankfin.2013.04.022
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    References listed on IDEAS

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    2. J. D. Opdyke, 2014. "Estimating Operational Risk Capital with Greater Accuracy, Precision, and Robustness," Papers 1406.0389, arXiv.org, revised Nov 2014.

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    More about this item

    Keywords

    Multiple sources of risk; Multidimensional value at risk; Risk distribution; Dependence in risk; Systemic risk;
    All these keywords.

    JEL classification:

    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods

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