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Love and Death : A Freund Model with Frailty

Gouriéroux, Christian; Lu, Yang - Centre de Recherche en Économie et Statistique … - 2013

dependence is usually taken into account in the actuarial literature by introducing an Archimedean copula. This practice implies …

Persistent link: https://www.econbiz.de/10010857712

A Asymptotic Total Variation Test for Copulas

Fermanian, Jean-David; Radulovic, Dragan; Wegkamp, Marten - Centre de Recherche en Économie et Statistique … - 2013

We propose a new goodness-of-fit test for copulas, based on empirical copula processes and nonparametric bootstrap … counterparts. The standard Kolmogorov-Smirnov type test for copulas that takes the supremum of the empirical copula process indexed … by orthants is extended by test statistics based on the supremum of the empirical copula process indexed by families of …

Persistent link: https://www.econbiz.de/10010747006

Shock on Variable or Shock on Distribution with Application to Stress-Tests

Dubecq, Simon; Gouriéroux, Christian - Centre de Recherche en Économie et Statistique … - 2012

The shocks on a stochastic system can be defined by means of either distribution, or variable. We relate these approaches and provide the link between the global and local effects of both types of shocks. These methodologies are used to perform stress-tests on the portfolio of financial...

Persistent link: https://www.econbiz.de/10010548475

Multi-level Conditional VaR Estimation in Dynamic Models

Franck, Christian Francq; Zakoian, Jean-Michel - Centre de Recherche en Économie et Statistique … - 2014

We consider joint estimation of conditional Value-at-Risk (VaR) at several levels, in the framework of general conditional heteroskedastic models. The volatility is estimated by Quasi-Maximum Likelihood (QML) in a first step, and the residuals are used to estimate the innovations quantiles in a...

Persistent link: https://www.econbiz.de/10010796244

Funding Liquidity Risk from A Regulatory Perspective

Gouriéroux, Christian; Heam, Jean-Cyprien - Centre de Recherche en Économie et Statistique … - 2013

In the Basel regulation the required capital of a financial institution is based on conditional measures of the risk of its future equity value such as Value-at-Risk, or Expected Shortfall. In Basel 2 the uncertainty on this equity value is captured by means of changes in asset prices (market...

Persistent link: https://www.econbiz.de/10010747020

The Limits of Granularity Adjustments

Fermanian, Jean-David - Centre de Recherche en Économie et Statistique … - 2013

We provide a rigorous proof of granularity adjustment (GA) formulas to evaluate loss distributions and risk measures (value-at-risk) in the case of heterogenous portfolios, multiple systematic factors and random recoveries. As a significant improvement with respect to the literature, we detail...

Persistent link: https://www.econbiz.de/10010747023

Estimation Adjusted VaR

Gouriéroux, Christian; Zakoian, Jean-Michel - Centre de Recherche en Économie et Statistique … - 2012

Standard risk measures, such as the Value-at-Risk (VaR), or the Expected Shortfall, have to be estimated and their estimated counterparts are subject to estimation uncertainty. Replacing, in the theoretical formulas, the true parameter value by an estimator based on n observations of the Profit...

Persistent link: https://www.econbiz.de/10010575237