Home > Research > Publications & Outputs > Estimating Portfolio Risk for Tail Risk Protect...

Research

Associated organisational units

Electronic data

Links

Text available via DOI:

Keywords

View graph of relations

Estimating Portfolio Risk for Tail Risk Protection Strategies

Research output: Contribution to Journal/Magazine › Journal article › peer-review

E-pub ahead of print

Standard

Estimating Portfolio Risk for Tail Risk Protection Strategies. / Happersberger, David; Lohre, Harald; Nolte, Ingmar.
In: European Financial Management, Vol. 26, No. 4, 03.02.2020, p. 1107-1146.

Research output: Contribution to Journal/Magazine › Journal article › peer-review

Harvard

Happersberger, D, Lohre, H & Nolte, I 2020, 'Estimating Portfolio Risk for Tail Risk Protection Strategies', European Financial Management, vol. 26, no. 4, pp. 1107-1146. https://doi.org/10.1111/eufm.12256

APA

Happersberger, D., Lohre, H., & Nolte, I. (2020). Estimating Portfolio Risk for Tail Risk Protection Strategies. European Financial Management, 26(4), 1107-1146. Advance online publication. https://doi.org/10.1111/eufm.12256

Vancouver

Happersberger D, Lohre H, Nolte I. Estimating Portfolio Risk for Tail Risk Protection Strategies. European Financial Management. 2020 Feb 3;26(4):1107-1146. Epub 2020 Feb 3. doi: 10.1111/eufm.12256

Author

Happersberger, David ; Lohre, Harald ; Nolte, Ingmar. / Estimating Portfolio Risk for Tail Risk Protection Strategies. In: European Financial Management. 2020 ; Vol. 26, No. 4. pp. 1107-1146.

Bibtex

@article{77f5e664deab40dabcb3060fd29d990b,
title = "Estimating Portfolio Risk for Tail Risk Protection Strategies",
abstract = "We forecast portfolio risk for managing dynamic tail risk protection strategies, based on extreme value theory, expectile regression, Copula-GARCH and dynamic GAS models. Utilizing a loss function that overcomes the lack of elicitability for Expected Shortfall, we propose a novel Expected Shortfall (and Value-at-Risk) forecast combination approach, which dominates simpleand sophisticated standalone models as well as a simple average combination approach in modelling the tail of the portfolio return distribution. While the associated dynamic risk targeting or portfolio insurance strategies provide effective downside protection, the latter strategies suffer less from inferior risk forecasts given the defensive portfolio insurance mechanics.",
keywords = "CPPI, DPPI, expected shortfall, forecast combination, return synchronization, risk modeling, tail risk protection, value‐at‐risk",
author = "David Happersberger and Harald Lohre and Ingmar Nolte",
year = "2020",
month = feb,
day = "3",
doi = "10.1111/eufm.12256",
language = "English",
volume = "26",
pages = "1107--1146",
journal = "European Financial Management",
issn = "1354-7798",
publisher = "Wiley-Blackwell",
number = "4",

}

RIS

TY - JOUR

T1 - Estimating Portfolio Risk for Tail Risk Protection Strategies

AU - Happersberger, David

AU - Lohre, Harald

AU - Nolte, Ingmar

PY - 2020/2/3

Y1 - 2020/2/3

N2 - We forecast portfolio risk for managing dynamic tail risk protection strategies, based on extreme value theory, expectile regression, Copula-GARCH and dynamic GAS models. Utilizing a loss function that overcomes the lack of elicitability for Expected Shortfall, we propose a novel Expected Shortfall (and Value-at-Risk) forecast combination approach, which dominates simpleand sophisticated standalone models as well as a simple average combination approach in modelling the tail of the portfolio return distribution. While the associated dynamic risk targeting or portfolio insurance strategies provide effective downside protection, the latter strategies suffer less from inferior risk forecasts given the defensive portfolio insurance mechanics.

AB - We forecast portfolio risk for managing dynamic tail risk protection strategies, based on extreme value theory, expectile regression, Copula-GARCH and dynamic GAS models. Utilizing a loss function that overcomes the lack of elicitability for Expected Shortfall, we propose a novel Expected Shortfall (and Value-at-Risk) forecast combination approach, which dominates simpleand sophisticated standalone models as well as a simple average combination approach in modelling the tail of the portfolio return distribution. While the associated dynamic risk targeting or portfolio insurance strategies provide effective downside protection, the latter strategies suffer less from inferior risk forecasts given the defensive portfolio insurance mechanics.

KW - CPPI

KW - DPPI

KW - expected shortfall

KW - forecast combination

KW - return synchronization

KW - risk modeling

KW - tail risk protection

KW - value‐at‐risk

U2 - 10.1111/eufm.12256

DO - 10.1111/eufm.12256

M3 - Journal article

VL - 26

SP - 1107

EP - 1146

JO - European Financial Management

JF - European Financial Management

SN - 1354-7798

IS - 4

ER -