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Predicting market risk with density combination: An introduction

David Ardia & Jeremy Kolly

Résumé Density forecast combination is a useful tool for risk managers to reduce model risk. We present up-to-date methodologies in the field, discuss key issues and provide some illustrations.
   
Mots-clés Density forecast combination, censoring, incomplete model set, risk model contribution, skew Student-t distribution, pool risk forecasts
   
Citation Ardia, D., & Kolly, J. (2016). Predicting market risk with density combination: An introduction. Wilmott Magazine, 81, 52-57.
   
Type Article de périodique (Anglais)
Date de publication 2016
Nom du périodique Wilmott Magazine
Volume 81
Pages 52-57
URL http://onlinelibrary.wiley.com/doi/10.1002/wilm.10473/abs...