Statistics Seminar
Published on the 04 Apr 2005
Speaker: Professor Wolfgang Hardle Center for Applied Statistics and Economics Humboldt-Universitat zu Berlin, Germany
Time:4:00p.m. Monday 11th April 2005
Venue: Red Center Old Main Building Room 151 near Barker Street Gate 14
We propose the GHADA risk management model that is based
on the generalized hyperbolic (GH) distribution and on a
nonparametric adaptive methodology. Compared to the normal
distribution, the GH distribution possesses semi-heavy tails
and represents the financial risk factors more appropriately.
The nonparametric adaptive methodology has the desirable
propery of estimating homogeneous volatility in a short time
interval. For DEM/USD exchange rate data and German bank
portfolio data the proposed GHADA model provides more accurate
value at risk calculation than the traditional model based on
the normal distribution. All calculations and simulations are
done with XploRe.