Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
4959383 | European Journal of Operational Research | 2017 | 14 Pages |
Abstract
We develop a simulation algorithm that generates multivariate samples with exact means, covariances, and multivariate skewness. If required for financial applications, absence of arbitrage can be ensured. Potential applications include the simulation of risk factors for the risk management of financial institutions. We use the Kollo measure of multivariate skewness, which is more informative for these applications than the Mardia skewness previously used in this context.
Related Topics
Physical Sciences and Engineering
Computer Science
Computer Science (General)
Authors
Michael Hanke, Spiridon Penev, Wolfgang Schief, Alex Weissensteiner,