In this paper, a dynamic mixture copula model is used to estimate the marginal expected shortfall in the South African insurance sector. We also employ the generalized autoregressive score model (GAS) to capture the dynamic asymmetric dependence between the insurers' returns and the stock market...

This paper investigates the dynamic tail dependence risk between BRICS economies and the world energy market, in the context of the COVID-19 financial crisis of 2020, in order to determine optimal investment decisions based on risk metrics. For this purpose, we employ a combination of novel...

Systemic susceptibility highlights the extent to which a banking sector is sensitive to negative shocks. Policymakers and regulators' objective is to avoid financial crises, and even though they can somewhat control local conditions, internationally transmitted crises are difficult to tackle....