Browsing by Subject "Quantile simulation"
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Advances in Risk Based Investing by means of Quantile Regression
(North-West University (South Africa), 2021)This thesis advances the relatively open-field of risk-based investing using methods available through quantile regression. To explain the complex relationship between different assets, practitioners and academics alike, ... -
On the financial interpretation of risk contributions: an analysis using Quantile Simulation
(Taylor & Francis, 2019)This paper tests whether the financial interpretation of risk contributions (Qian, 2006), as measured by marginal change in volatility, holds when accounting for fat tails in the asset return distributions. This important ...