Arbeitspapier
Bayesian estimation of the false negative fraction in screening tests
Dependence modelling and estimation is a key issue in the assessment of portfolio risk. When measuring extreme risk in terms of the Value-at-Risk, the multivariate normal model with linear correlation as its natural dependence measure is by no means an ideal model. We suggest a large class of models and a new dependence function which allows us to capture the complete extreme dependence structure of a portfolio. We also present a simple nonparametric estimation procedure. To show our new method at work we apply it to a financial data set of zero coupon swap rates and estimate the extreme dependence in the data.
- Language
-
Englisch
- Bibliographic citation
-
Series: Discussion Paper ; No. 376
- Classification
-
Statistical Simulation Methods: General
- Subject
-
Risk management
extreme risk assessment
multivariate models
dependence function
- Event
-
Geistige Schöpfung
- (who)
-
Held, Leonhard
Ranyimbo, Argwings Otieno
- Event
-
Veröffentlichung
- (who)
-
Ludwig-Maximilians-Universität München, Sonderforschungsbereich 386 - Statistische Analyse diskreter Strukturen
- (where)
-
München
- (when)
-
2004
- DOI
-
doi:10.5282/ubm/epub.1747
- Handle
- URN
-
urn:nbn:de:bvb:19-epub-1747-3
- Last update
-
10.03.2025, 11:55 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Held, Leonhard
- Ranyimbo, Argwings Otieno
- Ludwig-Maximilians-Universität München, Sonderforschungsbereich 386 - Statistische Analyse diskreter Strukturen
Time of origin
- 2004
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