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Search: subject:"hierarchical Archimedean copula"
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Kopula (Mathematik)
3
Theorie
3
Hidden Markov model
2
Hierarchical Archimedean Copula
2
Hierarchical Archimedean Copulae
2
Microprudential Capital Requirements
2
O-SII Buffer
2
Stress Testing
2
Systemic Credit Risk
2
Systemic Risk Buffer
2
Tail Risk
2
Value-at-Risk
2
commodity forward curves
2
copula
2
hierarchical Archimedean copula
2
hierarchical Archimedean copula (HAC)
2
multivariate GARCH
2
ARCH-Modell
1
Bank liquidity
1
Bank risk
1
Bankenaufsicht
1
Bankenliquidität
1
Banking supervision
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Bankrisiko
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Basel Accord
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Basler Akkord
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Börsenkurs
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Capital requirements
1
Credit risk
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Financial crisis
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Financial market regulation
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Financial supervision
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Finanzkrise
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Finanzmarktaufsicht
1
Finanzmarktregulierung
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Kapitalbedarf
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Kreditrisiko
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Markovscher Prozess
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Multivariate Analyse
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Multivariate Distribution
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Working Paper
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English
6
Undetermined
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Okhrin, Ostap
6
Härdle, Wolfgang Karl
2
Ristig, Alexander
2
Tente, Natalia
2
Wang, Weining
2
Zolotko, Mikhail
2
Slopek, Ulf
1
Slopek, Ulf Dieter
1
Westernhagen, Natalja von
1
von Westernhagen, Natalja
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Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät
3
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SFB 649 Discussion Paper
3
SFB 649 Discussion Papers
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EconStor
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RePEc
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ECONIS (ZBW)
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M-PRESS-CreditRisk: A holistic micro- and macroprudential approach to capital requirements
Tente, Natalia
;
von Westernhagen, Natalja
;
Slopek, Ulf
-
2017
M-PRESS-CreditRisk is a new top-down macro stress testing framework that can help supervisors gauge banks' capital adequacy related to credit risk. For the first time, it combines calibration of microprudential capital requirements and macroprudential buffers in a unified, coherent framework....
Persistent link: https://www.econbiz.de/10011664818
Saved in:
2
M-PRESS-CreditRisk : a holistic micro- and macroprudential approach to capital requirements
Tente, Natalia
;
Westernhagen, Natalja von
;
Slopek, Ulf …
-
2017
M-PRESS-CreditRisk is a new top-down macro stress testing framework that can help supervisors gauge banks' capital adequacy related to credit risk. For the first time, it combines calibration of microprudential capital requirements and macroprudential buffers in a unified, coherent framework....
Persistent link: https://www.econbiz.de/10011663208
Saved in:
3
Modelling general dependence between commodity forward curves
Zolotko, Mikhail
;
Okhrin, Ostap
-
2012
family of dynamic conditional correlation models based on
hierarchical
Archimedean
copulae
(HAC DCC), which are flexible, but …
Persistent link: https://www.econbiz.de/10010318781
Saved in:
4
Hierarchical
Archimedean
copulae
: The HAC package
Okhrin, Ostap
;
Ristig, Alexander
-
2012
-dimensional
hierarchical
Archimedean
copulae
(HAC). A computationally effcient estimation procedure allows to recover the structure and the …
Persistent link: https://www.econbiz.de/10010319201
Saved in:
5
HMM in dynamic HAC models
Härdle, Wolfgang Karl
;
Okhrin, Ostap
;
Wang, Weining
-
2012
aims at attacking this problem by building up a hidden Markov model (HMM) for
Hierarchical
Archimedean
Copulae
(HAC), where …
Persistent link: https://www.econbiz.de/10010281541
Saved in:
6
Modelling general dependence between commodity forward curves
Zolotko, Mikhail
;
Okhrin, Ostap
-
Sonderforschungsbereich 649: Ökonomisches Risiko, …
-
2012
family of dynamic conditional correlation models based on
hierarchical
Archimedean
copulae
(HAC DCC), which are flexible, but …
Persistent link: https://www.econbiz.de/10010581005
Saved in:
7
Hierarchical
Archimedean
Copulae
: The HAC Package
Okhrin, Ostap
;
Ristig, Alexander
-
Sonderforschungsbereich 649: Ökonomisches Risiko, …
-
2012
-dimensional
hierarchical
Archimedean
copulae
(HAC). A computationally ecient estimation procedure allows to recover the structure and the …
Persistent link: https://www.econbiz.de/10010549031
Saved in:
8
HMM in dynamic HAC models
Härdle, Wolfgang Karl
;
Okhrin, Ostap
;
Wang, Weining
-
Sonderforschungsbereich 649: Ökonomisches Risiko, …
-
2012
aims at attacking this problem by building up a hidden Markov model (HMM) for
Hierarchical
Archimedean
Copulae
(HAC), where …
Persistent link: https://www.econbiz.de/10009399336
Saved in:
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