properties of another set of variables. In the study of systemic risk in a financial system, the multivariate conditional … multivariate Normal distributions. Measures of stress impact and systemic risk are proposed. An application to the US equity market …

-week portfolio Value-at-Risk (VaR) and Conditional-Value-at-Risk (CVaR) predictions and the time-instability of financial market … effects when they are needed the most. Diversification among multiple asset classes significantly reduces the risk of …

The interdependence between multiple lines of business has an important impact on determining loss reserves and risk … robust estimation, and better captures the dependence between the risks. We also show that it generates smaller risk capital …

This paper provides a strategy for portfolio risk management by inferring extreme movements in financial markets. The … generation for future returns, estimation of portfolio profit-and-loss distribution and calculation of risk measures, and hence …

Conditional Value-at-Risk (CVaR) minimization model by applying multidimensional mixed Archimedean copula function and obtaining … Copula-CVaR approach generates portfolios with better downside risk statistics for any rebalancing period and it is more …

global financial instability leading to systemic risk. It is therefore crucial to quantify systemic risk and investigate its …-called multivariate conditional value-at-risk (MCoVaR), which measures the tail risk of a targeted asset from each market conditional on a … Delta MCoVaR, we found the crypto assets to be potential sources of systemic risk jointly transmitted within the crypto …