Happersberger, David
[VerfasserIn]
;
Lohre, Harald
[Sonstige Person, Familie und Körperschaft];
Nolte, Ingmar
[Sonstige Person, Familie und Körperschaft]
Estimating Portfolio Risk for Tail Risk Protection Strategies
Anmerkungen:
In: European Financial Management, Vol. 26, Issue 4, pp. 1107–1146, 2020
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments December 17, 2019 erstellt
Beschreibung:
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 simple and 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