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Multidimensional risk and risk dependence

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

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.

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Article provided by Elsevier in its journal Journal of Banking & Finance.

Volume (Year): 37 (2013)
Issue (Month): 8 ()
Pages: 3286-3294

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Handle: RePEc:eee:jbfina:v:37:y:2013:i:8:p:3286-3294
Contact details of provider: Web page: http://www.elsevier.com/locate/jbf

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