Forecasting compositional risk allocations
Boonen, Tim. J.
Guillén, Montserrat
Santolino, Miguel
Xarxa de Referència en Economia Aplicada (XREAP)

Imprint: Xarxa de Referència en Economia Aplicada (XREAP) 2017
Description: 35 p.
Abstract: We analyse models for panel data that arise in risk allocation problems,when a given set of sources are the cause of an aggregate risk value. We focus on the modeling and forecasting of proportional contributions to risk. Compositional data methods are proposed and the regression is flexible to incorporate external information from other variables. We guarantee that projected proportional contributions add up to 100%, and we introduce a method to generate confidence regions with the same restriction. An illustration using data from the stock exchange is provided.
Language: Anglès.
Series: Xarxa de Referència en Economia Aplicada (XREAP): Documents de treball de la Xarxa de Referència en Economia Aplicada (XREAP)
Series: XREAP ; 2017-04
Document: patent
Subject: Risc (Economia) ; Models matemàtics ; Risk ; Mathematical models

adreça alternativa: https://hdl.handle.net/2072/336133

The record appears in these collections:
Research literature > Studies

 Record created 2019-01-22, last modified 2019-01-26



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