Multidimensional Risk and Risk Dependence

39 Pages Posted: 5 Feb 2014

See all articles by Arnold Polanski

Arnold Polanski

University of East Anglia

Evarist Stoja

University of Bristol

Ren Zhang

University of East Anglia (UEA)

Multiple version iconThere are 2 versions of this paper

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

Polanski, Arnold and Stoja, Evarist and Zhang, Ren, Multidimensional Risk and Risk Dependence (March 25, 2013). Available at SSRN: https://ssrn.com/abstract=2390107 or http://dx.doi.org/10.2139/ssrn.2390107

Arnold Polanski

University of East Anglia ( email )

Norwich, Norfolk NR4 7TJ
United Kingdom
44 (0)1603 59 7166 (Phone)

HOME PAGE: http://https://www.uea.ac.uk/eco/people/All+People/Academic/Arnold+Polanski

Evarist Stoja (Contact Author)

University of Bristol ( email )

School of Accounting and Finance
8 Woodland Road
Bristol, BS8 1TN
United Kingdom

HOME PAGE: http://sites.google.com/view/evarist-stoja/

Ren Zhang

University of East Anglia (UEA) ( email )

Norwich Research Park
Norwich, Norfolk NR4 7TJ
United Kingdom

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