This paper examines the time-varying dependence structure of commodity futures portfolios based on multivariate dynamic copula models. The importance of accounting for time-variation is emphasized in the context of the Basel traffic light system. We enhance the exibility of this structure by...

In this paper, the analysis of the dependence structure among the selected European indices (FTSE, CAC, DAX, ATX, PX, BUX and BIST) is conducted. The main features of the financial data are studied: the asymmetry, the fat-tailedness, the variability and mutual dependence. We have fitted a regime...

Value at Risk plays a crucial role in the risk management. However, this risk measure has some drawbacks. The alternative risk measure is Expected Shortfall, which is rarely used, but exhibits desirable properties. In the paper, the estimation of both risk measures has been conducted, for pairs...