3 papers
q-fin.RM2021
A Method for Predicting VaR by Aggregating Generalized Distributions Driven by the Dynamic Conditional Score
Shijia Song, Handong Li
Constructing a more effective value at risk (VaR) prediction model has long been a goal in financial risk management. In this paper, we propose a novel parametric approach and prov…
q-fin.RM2021
Value-at-Risk forecasting model based on normal inverse Gaussian distribution driven by dynamic conditional score
Shijia Song, Handong Li
Under the framework of dynamic conditional score, we propose a parametric forecasting model for Value-at-Risk based on the normal inverse Gaussian distribution (Hereinafter NIG-DCS…
q-fin.TR2021
Research on Portfolio Liquidation Strategy under Discrete Times
Qixuan Luo, Yu Shi, Handong Li
This paper presents an optimal strategy for portfolio liquidation under discrete time conditions. We assume that N risky assets held will be liquidated according to the same time i…