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Calibration of Multivariate Generalized Hyperbolic Distributions: Applications in Risk Management, Portfolio optimization, and Portfolio Credit Risk - Couverture souple

Hu, Wenbo

 
9783639123609: Calibration of Multivariate Generalized Hyperbolic Distributions: Applications in Risk Management, Portfolio optimization, and Portfolio Credit Risk
Couverture souple
ISBN 10 : 3639123603 ISBN 13 : 9783639123609
Editeur : VDM Verlag Dr. Müller, 2009

Synopsis

The distributions of many financial quantities are well-known to have heavy tails, exhibit skewness. We study an especially promising family: multivariate generalized hyperbolic distributions(GH). This family includes Gaussian and Student t distributions, and the so-called skewed t distributions. We describe a way to stably calibrate GH distributions for a wider range of parameters than has previously been reported. We apply GH distributions in three financial applications. First, we forecast the VaR for stock index returns, and show that the GH distributions outperform the Gaussian distribution. Second, we calculate an efficient frontier for equity portfolio optimization under the skewed-t distribution and we show that the Gaussian efficient frontier is actually unreachable. Third, we build an intensity-based model to price Basket Credit Default Swaps by calibrating the skewed t distribution directly, without the need to separately calibrate the skewed t copula. This book is useful to academic research of GH distributions for both theory and calibration. It is also useful to quantitative finance analysts and numeric algorithm developers.

Les informations fournies dans la section « Synopsis » peuvent faire référence à une autre édition de ce titre.

À propos de l'auteur

Wenbo Hu is a director of quantitative trading at Bell Trading in Chicago. Dr. Hu obtained a master of financial mathematics from Peking University in 2001 and a PhD in Financial Mathematics from Florida State University in 2005. Since then, he has been working for Bell Trading to develop futures and options black box trading system.

Les informations fournies dans la section « A propos du livre » peuvent faire référence à une autre édition de ce titre.

Éditeur
VDM Verlag Dr. Müller
Date d'édition
2009
Langue
anglais
ISBN 10 
3639123603
ISBN 13 
9783639123609
Reliure
Broché
Nombre de pages
116
Coordonnées du fabricant
non disponible
Personne responsable
non disponible