Yang, Bill Huajian and Yang, Jenny and Yang, Haoji
(2020):
*Modeling Portfolio Loss by Interval Distributions.*
Published in: Big Data and Information Analytics
, Vol. 5, No. 1
(4 August 2020): pp. 1-13.

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## Abstract

Models for a continuous risk outcome has a wide application in portfolio risk management and capital allocation. We introduce a family of interval distributions based on variable transformations. Densities for these distributions are provided. Models with a random effect, targeting a continuous risk outcome, can then be fitted by maximum likelihood approaches assuming an interval distribution. Given fixed effects, regression function can be estimated and derived accordingly when required. This provides an alternative regression tool to the fraction response model and Beta regression model.

Item Type: | MPRA Paper |
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Original Title: | Modeling Portfolio Loss by Interval Distributions |

English Title: | Modeling Portfolio Loss by Interval Distributions |

Language: | English |

Keywords: | Interval distribution, model with a random effect, tailed index, expected shortfall, heteroscedasticity, Beta regression model, fraction response model, maximum likelihood. |

Subjects: | C - Mathematical and Quantitative Methods > C0 - General C - Mathematical and Quantitative Methods > C0 - General > C01 - Econometrics C - Mathematical and Quantitative Methods > C0 - General > C02 - Mathematical Methods C - Mathematical and Quantitative Methods > C5 - Econometric Modeling C - Mathematical and Quantitative Methods > C5 - Econometric Modeling > C51 - Model Construction and Estimation C - Mathematical and Quantitative Methods > C5 - Econometric Modeling > C53 - Forecasting and Prediction Methods ; Simulation Methods C - Mathematical and Quantitative Methods > C6 - Mathematical Methods ; Programming Models ; Mathematical and Simulation Modeling C - Mathematical and Quantitative Methods > C6 - Mathematical Methods ; Programming Models ; Mathematical and Simulation Modeling > C61 - Optimization Techniques ; Programming Models ; Dynamic Analysis C - Mathematical and Quantitative Methods > C8 - Data Collection and Data Estimation Methodology ; Computer Programs |

Item ID: | 102219 |

Depositing User: | Dr. Bill Huajian Yang |

Date Deposited: | 13 Aug 2020 07:55 |

Last Modified: | 13 Aug 2020 07:55 |

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URI: | https://mpra.ub.uni-muenchen.de/id/eprint/102219 |