Search Results - subject:"Copula function"

Systemic risk effects of climate transition on financial stability

Ojea-Ferreiro, Javier; Reboredo, Juan Carlos; Ugolini, … - In: International review of financial analysis 96 (2024) 2, pp. 1-25

Persistent link: https://www.econbiz.de/10015595429

Nonlinear tail dependence between energy and agricultural commodities

Atik, Zehra; Güloğlu, Bülent; Ulussever, Talat - In: Energy economics 139 (2024), pp. 1-42

Persistent link: https://www.econbiz.de/10015532989

Are the impacts of the COVID-19 crisis on financial and commodity markets analogous to the past crisis? : a quantile copula spectral analysis

Matsuki, Takashi; Sugimoto, Kimiko - In: Challenges of Global Economic and Social …, (pp. 23-34). 2026

Persistent link: https://www.econbiz.de/10015618881

Modelling momentum dynamics in the US dividend-price ratio analysis

Dufrénot, Gilles; Jawadi, Fredj - In: Challenges of Global Economic and Social …, (pp. 129-162). 2026

Persistent link: https://www.econbiz.de/10015618901

Forecasting value-at-risk and expected shortfall of cryptocurrency using range-based copula method

Kar, Tapan; Meka, Sesha - In: Applied economics 58 (2026) 12, pp. 2303-2320

Persistent link: https://www.econbiz.de/10015636713

Modeling portfolio credit risk taking into account the default correlations using a copula approach : implementation to an Italian loan portfolio

Di Clemente, Annalisa - In: Journal of risk and financial management : JRFM 13 (2020) 6/129, pp. 1-23

This work aims to illustrate an advanced quantitative methodology for measuring the credit risk of a loan portfolio allowing for diversification effects. Also, this methodology can allocate the credit capital coherently to each counterparty in the portfolio. The analytical approach used for...

Persistent link: https://www.econbiz.de/10012309082

Modeling the symmetric relation between baltic exchange indexes

Pourkermani, Kasra - In: Maritime business review 8 (2023) 3, pp. 225-237

Persistent link: https://www.econbiz.de/10014486961

Saddlepoint approximations for credit portfolio distributions with applications in equity risk management

Herbertsson, Alexander - 2023

Persistent link: https://www.econbiz.de/10014518798

Semiparametric conditional mixture copula models with copula selection

Cai, Zongwu; Liu, Guannan; Long, Wei; Luo, Xuehong - 2023

Persistent link: https://www.econbiz.de/10014521027

Statistical actuarial estimation of the Capitation Payment Unit from copula functions and deep learning : historical comparability analysis for the Colombian health system, 2015-2021

Espinosa, Oscar; Bejarano, Valeria; Ramos, Jeferson; … - In: Health economics review 13 (2023) 1, pp. 1-20

The Capitation Payment Unit (CPU) fnancing mechanism constitutes more than 70% of health spending in Colombia, with a budget allocation of close to 60 trillion Colombian pesos for the year 2022 (approximately 15.7 billion US dollars). This article estimates actuarially, using modern techniques,...

Persistent link: https://www.econbiz.de/10014500250