Predicting market risk with density combination: An introduction

Author(s)
Kolly, Jeremy
Date issued
2016
In
Wilmott Magazine
No
81
From page
52
To page
57
Reviewed by peer
1
Subjects
Density forecast combination censoring incomplete model set risk model contribution skew Student-t distribution pool risk forecasts
Abstract
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.
Publication type
journal article
Identifiers
https://libra.unine.ch/handle/20.500.14713/63556
DOI
10.1002/wilm.10473/abstract
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Wilmott Magazine - 2016 - Ardia - Predicting Market Risk with Density Combination An Introduction.pdf

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