-dimensional portfolios. To describe the dependence structure, we employ the factor copula model, driven by a GAS (Generalized Autoregressive … heterogeneous factor copula model is the most suitable for describing portfolio risk. Furthermore, the mean-ES model ensures the … Score) model. By combining the dynamic factor model with a mean-ES (Expected Shortfall) model, we construct a dynamic factor …

distribution are less addressed. To quantify systemic risk in a system-wide perspective, we propose a network-based factor copula … approach to study systemic risk in a network of systemically important financial institutions (SIFIs). The factor copula model …

, we work with daily time series of CDS spreads. We employ factor copula model with GAS dynamics of Oh and Patton (2016 …

, we work with daily time series of CDS spreads. We employ factor copula model with GAS dynamics of Oh and Patton (2016 …

distribution are less addressed. To quantify systemic risk in a system-wide perspective, we propose a network-based factor copula … approach to study systemic risk in a network of systemically important financial institutions (SIFIs). The factor copula model …

, the factor copula models. These high-dimensional models remain parsimonious with pair-copula constructions, and nest many …

forward-starting BDS.Current factor copula models are static and fail to calibrate consistently against market quotes. To … overcome this deficiency, we develop a novel chaining technique to build a multi-period factor copula model from several one …-period factor copula models. This allows the default correlations to be time-dependent, thereby allowing the model to fit market …