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Publication - Dr Evarist Stoja

    Multidimensional Risk and Risk Dependence


    Stoja, E & Polanski, A, 2013, ‘Multidimensional Risk and Risk Dependence’. Journal of Banking and Finance, vol 37., pp. 3286-3294


    Evaluating multiple sources of risk is an important problem with many applications in finance and economics. In practice this evaluation remains challenging. We propose a simple non-parametric framework with several economic and statistical applications. In an empirical study, we illustrate the flexibility of our technique by applying it to the evaluation of multidimensional density forecasts, multidimensional Value at Risk and Dependence in Risk.

    Full details in the University publications repository