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... |