Forecasting compositional risk allocations
We analyse models for panel data that arise in risk allocation problems, when a given set of sources are the cause of an aggregate risk value. We focus on the modelling and forecasting of proportional contributions to risk over time. Compositional data methods are proposed and the time-series regres...
| Autores: | , , |
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| Tipo de recurso: | artículo |
| Estado: | Versión aceptada para publicación |
| Fecha de publicación: | 2019 |
| País: | España |
| Institución: | Universidad de Barcelona |
| Repositorio: | Dipòsit Digital de la UB |
| OAI Identifier: | oai:diposit.ub.edu:2445/127273 |
| Acceso en línea: | https://hdl.handle.net/2445/127273 |
| Access Level: | acceso abierto |
| Palabra clave: | Risc (Economia) Assignació d'actius Anàlisi de dades de panel Risk Asset allocation Panel analysis |
| Sumario: | We analyse models for panel data that arise in risk allocation problems, when a given set of sources are the cause of an aggregate risk value. We focus on the modelling and forecasting of proportional contributions to risk over time. Compositional data methods are proposed and the time-series regression is flexible to incorporate external information from other variables. We guarantee that projected proportional contributions add up to 100%, and we introduce a method to generate confidence regions with the same restriction. An illustration is provided for risk capital allocations. |
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