Understanding sectoral dynamic dependence across equity indexes is crucial for investment decisions and designing economic policy. This study examines the sectoral dependence among 82 Pakistani companies using a vine copula approach and daily data from July 1, 2014, to December 17, 2019. Vine...

This paper uses a copula model to identify the dependency structure for motor insurance data. The study identified the poisson and lognormal distributions as the best marginal distributions for the claim frequency and severity respectively. Furthermore, six(6) different copula models were fitted...

The numerical calculations of marginal risk contributions associated with the two risk measures, Value-at-Risk and Expected Shortfall, pose challenges due to the rare event character of multiple defaults among obligors in credit portfolios at a high confidence level. We explore various...

In this article, we propose a R-vine copula model to detect the nonlinear interdependence between the oil market and five Chinese new-energy-related stock markets (photovoltaic, new energy vehicles, energy storage, wind power, and nuclear power industries). Following Reboredo and Ugolini (2015),...

Extraordinary economic conditions during the COVID-19 pandemic caused many IFRS 9 impairment models to produce unreliable results. Severe market reactions, resulting from unprecedented events, prompted swift action from the regulatory authorities to maintain the financial system's stability....