Predicting Market Risk with Density Combination: An Introduction

Wilmott Magazine 81, pp. 52-57, 2016

10 Pages Posted: 19 Feb 2015 Last revised: 13 Nov 2017

See all articles by David Ardia

David Ardia

HEC Montreal - Department of Decision Sciences

Jeremy Kolly

affiliation not provided to SSRN

Date Written: August 10, 2015

Abstract

Density forecast combination is a useful tool for risk managers to reduce model risk. We present up-to-date methodologies in the field, discuss key issues and provide some illustrations.

Keywords: Density forecast combination, censoring, incomplete model set, risk model contribution, skew Student-t distribution, pool risk forecasts

JEL Classification: C53, G32

Suggested Citation

Ardia, David and Kolly, Jeremy, Predicting Market Risk with Density Combination: An Introduction (August 10, 2015). Wilmott Magazine 81, pp. 52-57, 2016, Available at SSRN: https://ssrn.com/abstract=2566531 or http://dx.doi.org/10.2139/ssrn.2566531

David Ardia

HEC Montreal - Department of Decision Sciences ( email )

3000 Côte-Sainte-Catherine Road
Montreal, QC H2S1L4
Canada

Jeremy Kolly (Contact Author)

affiliation not provided to SSRN

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