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Activity Number:
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470
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Type:
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Topic Contributed
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Date/Time:
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Thursday, August 7, 2008 : 8:30 AM to 10:20 AM
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Sponsor:
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Section on Risk Analysis
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| Abstract - #302068 |
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Title:
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Combining Measures of Risk Across Dependent Series
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Author(s):
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Katherine B. Ensor*+
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Companies:
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Rice University
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Address:
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, , ,
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Keywords:
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complex risk
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Abstract:
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Risk metrics are often applied simply to one or a few series or processes at a time. As we well know, the correlation between series can substantially alter the risk landscape. We examine robust strategies to combining risk metrics across multiple dependent series that are not necessarily observed simultaneously. Furthermore, covariates may have a differential impact on the up or downside risk. This modeling complexity is incorporated in our methodologies.
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- The address information is for the authors that have a + after their name.
- Authors who are presenting talks have a * after their name.
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