In this paper, we use the copula model so as to compute the Optimal Hedge Ratio. Hedging with OTC markets is probably the most common way of managing risk, and much research has been done within this field. Our investigation contributes to the current literature insofar as we aim to hedge Credit...

Copulas are a quite flexible and useful tool for modeling the dependence structure between two or more variables or components of bivariate and multivariate vectors, in particular, to predict losses in insurance and finance. In this article, we use the VineCopula package in R to study the...

Risk evaluation is a forecast, and its validity must be backtested. Probability distribution forecasts are used in this work and allow for more powerful validations compared to point forecasts. Our aim is to use bivariate copulas in order to characterize the in-sample copulas and to validate...

The performance of volatility-based trading strategies depends, among other factors, on the asset selection and the associated risk preference. For this study, we conducted a representative survey for Germany to determine the asset preferences of individuals with lower-risk and higher-risk...

This paper aims to analyze the effect on measured inequality and its structure of using administrative data instead of survey data. Different analyses are carried out based on the Spanish Survey on Income and Living Conditions (ECV) that continued to ask households for their income despite...

Crude oil, "the blood of industry" plays an irreplaceable role in the field of industrial production. The fluctuation in oil prices directly affects metal mining and processing, which in turn affects the dynamic development of the nonferrous metal market. This study examines the dynamic...

This research aims to investigate the asset allocation performance of three different optimization methods commonly applied in the literature for a portfolio composed of univariate returns generated from Mixed and Elliptic copulas instead of historical data. As a result, returns of five equities...