assumption that the dependence structure between yields and weather variables remains unchanged over time. In this paper, we …

By utilizing the extreme dependence structure and the conditional probability of joint failure (CPJF) between banks …

This paper defines a risk-stability index (RSI) that takes into account the extreme dependence structure and the …

propose a copula-based model that is both hierarchical and hybrid (HYC for short), because: (i) the dependence structure is … impact of an enlargement of the dependence structure is discussed, in the contest of a geographical area sub …-portfolios analysis now relevant to determine the risk contributions of subgroups under the presence of a wider dependence structure. This …

preferred to avoid assumption on the dependence structure within clusters. A novel estimating equation approach is proposed …