TY  - UNPD
A1  - Mittnik, Stefan
T1  - VaR-implied tail-correlation matrices : [Version October 2013]
T2  - Center for Financial Studies (Frankfurt am Main): CFS working paper series ; No. 2013,05
N2  - Empirical evidence suggests that asset returns correlate more strongly in bear markets than conventional correlation estimates imply. We propose a method for determining complete tail correlation matrices based on Value-at-Risk (VaR) estimates. We demonstrate how to obtain more efficient tail-correlation estimates by use of overidentification strategies and how to guarantee positive semidefiniteness, a property required for valid risk aggregation and Markowitz{type portfolio optimization. An empirical application to a 30-asset universe illustrates the practical applicability and relevance of the approach in portfolio management.
T3  - CFS working paper series - 2013, 05 
KW  - Downside risk
KW  - Estimation efficiency
KW  - Portfolio optimization
KW  - Positive semidefiniteness
KW  - Solvency II
KW  - Value-at-risk
Y1  - 2013
UR  - http://publikationen.ub.uni-frankfurt.de/frontdoor/index/index/docId/32482
UR  - https://nbn-resolving.org/urn:nbn:de:hebis:30:3-324823
IS  - Version October 20, 2013
PB  - Center for Financial Studies
CY  - Frankfurt, M.
ER  -