Multidimensional Risk and Risk Dependence
39 Pages Posted: 5 Feb 2014
There are 2 versions of this paper
Multidimensional Risk and Risk Dependence
Multidimensional Risk and Risk Dependence
Date Written: March 25, 2013
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.
Keywords: Multiple Sources of Risk, Multidimensional Value at Risk, Risk Distribution, Dependence in Risk, Systemic Risk
JEL Classification: C52, C53
Suggested Citation: Suggested Citation