The purpose of this paper is to analyze the impact of trade openness and the factors based on the gravity model on the bilateral trade flows between Thailand and Japan. The factors consist of GDP, distance, trade openness, and exchange rate. Bilateral trade is composed of two flows: Thailand’s...

Modern risk management and portfolio allocation require reliable modelling of dependence among markets and risky assets. The dependence structure has practical implications that include asset pricing, risk management, hedging, contagion, portfolio allocation, international diversification and...

Correlation graphs are introduced to delineate the levels observed in data and models for return and squared return correlations. A sample of 2048 representative pairs of equity assets is selected from a possible collection of 381,501 pairs by quantization. Five copulas are estimated and...

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...

This paper develops a robust portfolio optimization model based on regime switching R-Vine copulas, where regime switching R-Vine copulas capture asymmetric dependence and regime switching in financial markets. We consider the uncertainty in hidden economic states and define WSCVaR as CVaR in...

Asymmetric dependence between stock returns and market returns is significantly priced in international equity returns. Of all the commonly considered factors, asymmetric dependence is the only factor priced in all 38 markets examined. Internationally, investors require additional compensation...

Last decades show an increased interest of modeling various types of data through copulae. After copulae have been used for the first time in applications in early 2000s, they gained enormous popularity among academics and practitioners in particular after the pitfall of the Gaussian models in...