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
Date Written: August 10, 2015
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: Suggested Citation