Markus Huggenberger

University of Mannheim - Department of Risk Theory, Portfolio Management and Insurance

Schloss

D-68131 Mannheim

Germany

SCHOLARLY PAPERS

3

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Scholarly Papers (3)

1.

Tail Risk Hedging and Regime Switching

Asian Finance Association (AsianFA) 2015 Conference Paper
Number of pages: 40 Posted: 17 Oct 2011 Last Revised: 05 Aug 2016
Markus Huggenberger, Peter Albrecht and Alexandr Pekelis
University of Mannheim - Department of Risk Theory, Portfolio Management and Insurance, University of Mannheim - Department of Risk Theory, Portfolio Management and Insurance and University of Mannheim - Department of Risk Theory, Portfolio Management and Insurance
Downloads 547 (30,796)

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Value-at-Risk, Conditional-Value-at-Risk, regime-switching models, elliptical distributions, futures hedging

2.

A g-and-h Copula Approach to Risk Measurement in Multivariate Financial Models

Number of pages: 27 Posted: 15 Sep 2010 Last Revised: 18 Dec 2010
Markus Huggenberger and Timo Klett
University of Mannheim - Department of Risk Theory, Portfolio Management and Insurance and University of Mannheim - Department of Risk Theory, Portfolio Management and Insurance
Downloads 266 (88,950)

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g-and-h distribution, copula, GARCH, Value-at-Risk, stock indices, skewed-t distribution

3.

Forward-Looking Tail Risk Measures

Number of pages: 67 Posted: 01 Feb 2017 Last Revised: 17 Jun 2018
Markus Huggenberger, Chu Zhang and Ti Zhou
University of Mannheim - Department of Risk Theory, Portfolio Management and Insurance, Hong Kong University of Science & Technology (HKUST) - Department of Finance and Southern University of Science and Technology-Department of Finance
Downloads 0 (526,141)

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Tail Risk, Options, Risk Management, Value-at-Risk, Expected Shortfall