Ingo Hoffmann has been working in risk and asset management in one of the largest German banks for more than twenty years. There he is entrusted with the mathematical modeling of central topics of tactical / strategic asset allocation and risk assessment. He received his master's degree in theoretical physics from the University of Wuppertal (1993), majoring in nonlinear dynamics and he obtained his Ph.D. in chemical and biochemical engineering from the University of Dortmund (1998). Since 2017 he has been researching in the field of risk assessment and risk / asset management with institutional issues at the Chair of Financial Services of the Faculty of Business Administration and Economics at the University of Düsseldorf. His research has been published in well-known journals of physics, chemical engineering, mathematics, and economics.
The quality of a tail model, which is determined by data from an unknown distribution, depends critically on the subset of data used to model the tail. Based on a suitably weighted mean square error, the authors present a completely automated method that…