Applied Research Methods

We will use and further develop asymptotic theory for GARCH-type models and models for tail risk, as well as recent results on the elicitability of risk measures. These methods will be combined with simulation-based approaches in order to validate theoretical results and explore finite-sample properties. Moreover, we will apply the proposed methodologies to market data of financial companies, covering the financial networks of US and European banks. This will require substantial empirical work utilizing large data sets and computational resources.

Relevant Publications