Kjersti Aas

Norwegian Computing Center

P. O. Box 114 Blindern

0314 Oslo

Norway

SCHOLARLY PAPERS

4

DOWNLOADS

461

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Scholarly Papers (4)

1.

Enhancing Mean-Variance Portfolio Selection by Modeling Distributional Asymmetries

Number of pages: 34 Posted: 03 May 2013 Last Revised: 21 Oct 2015
University of Queensland Business School, University of Queensland and Norwegian Computing Center
Downloads 308 (96,181)

Abstract:

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elliptical copula, asymmetric marginals, mean-variance, portfolio management

2.

Bounds on Total Economic Capital: The DNB Case Study

Forthcoming in Extremes
Number of pages: 25 Posted: 07 Aug 2014
Kjersti Aas and Giovanni Puccetti
Norwegian Computing Center and University of Milan - Department of Economics, Management and Quantitative Methods (DEMM)
Downloads 153 (188,876)

Abstract:

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Model risk, Risk Aggregation, Total economic capital, Value-at-Risk, Diversification benefit, Rearrangement Algorithm.

3.

The Generalized Hyperbolic Skew Student's T-Distribution

Journal of Financial Econometrics, Vol. 4, No. 2, pp. 275-309, 2006
Posted: 29 Feb 2008
Kjersti Aas and D. Hobæk Haff
Norwegian Computing Center and affiliation not provided to SSRN

Abstract:

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EM algorithm, generalized hyperbolic distribution, NIG, skew probability distribution, skew Student's t

4.

Risk Estimation Using the Multivariate Normal Inverse Gaussian Distribution

Journal of Risk, Vol. 8, No. 2, Winter 2006
Posted: 10 May 2006
Kjersti Aas, Ingrid Haff and Xeni K Dimakos
Norwegian Computing Center, Norwegian Computing Center and Norwegian Computing Center

Abstract:

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portfolio financial assets, univariate, multivariate, multivariate normal inverse Gaussian, MNIG,heavy tails ,skewness , GARCH, value-at-risk, VAR