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A concept of copula robustness and its applications in quantitative risk management

Zähle, Henryk - In: Finance and Stochastics 26 (2022) 4, pp. 825-875

obtain information on the copula (dependence structure). Therefore copula models used in practice are quite often only rough … robust with respect to (at least small) deviations in the copula. In this article, a general concept of copula robustness is … introduced and criteria for copula robustness are presented. These criteria are illustrated by means of several examples from …

Persistent link: https://www.econbiz.de/10015327710

Roth's theorem implies a weakened version of the ABC conjecture for special cases

Sibbertsen, Philipp; Müller, Karsten; Lampert, Timm; … - 2022

Enrico Bombieri proved that the ABC Conjecture implies Roth's theorem in 1994. This paper concerns the other direction. In making use of Bombieri's and Van der Poorten's explicit formula for the coefficients of the regular continued fractions of algebraic numbers, we prove that Roth's theorem...

Persistent link: https://www.econbiz.de/10013482855

The start of Yugoslavia's disintegration: Where borders cut commuting spheres

Hoffstadt, Martin - 2022

Persistent link: https://www.econbiz.de/10013482856

Ecuaciones diferenciales y en diferencias aplicadas a los conceptos económicos y financieros

Tenorio Villalón, Ángel F.; Martín Caraballo, Ana M.; … - In: Revista de Métodos Cuantitativos para la Economía y … 16 (2013), pp. 165-199

This paper deals with the use of differential equations and finite difference methods for solving several problems in the field of Economics and Business Administration. Economics usually needs to study the evolution of the values which are taken by a given variable in different moments. If the...

Persistent link: https://www.econbiz.de/10011307198

On two mixture-based clustering approaches used in modeling an insurance portfolio

Miljkovic, Tatjana; Fernández, Daniel - In: Risks 6 (2018) 2, pp. 1-18

We review two complementary mixture-based clustering approaches for modeling unobserved heterogeneity in an insurance portfolio: the generalized linear mixed cluster-weighted model (CWM) and mixture-based clustering for an ordered stereotype model (OSM). The latter is for modeling of ordinal...

Persistent link: https://www.econbiz.de/10011996615

Grey model for evaluation and analysis of competitiveness in the packaging and testing industry

Huang, Chong-Rong; Lin, Kuo-Wei - In: International Journal of Management, Economics and … 5 (2016) 3, pp. 87-94

The integrated circuit (IC) packaging and testing industry is an important link in the semiconductor industrial chain that may decide the success or failure of the foundry industry. The purpose of this study was to compare the competitiveness of the packaging and testing industry in the rear...

Persistent link: https://www.econbiz.de/10011569388

The Energy Transition and the Value of Capacity Remuneration Mechanisms

Bonaldo, Cinzia; Fontini, Fulvio; Moretto, Michele - 2022

Capacity Remuneration Mechanisms (CRM) can be used in power markets to overtake market failures, reaching security of supply. However, investment in capacity is a dynamic process, that depends on the evolution of prices and costs overtime. In our paper we study the capacity remuneration value...

Persistent link: https://www.econbiz.de/10013353586

Systematic Systemic Stress Tests

Breuer, Thomas; Summer, Martin - 2018

For a given set of banks, which economic and financial scenarios will lead to big losses? How big can losses in such scenarios possibly get? These are the two central questions of macro stress tests. We believe that most current macro stress testing models have deficits in answering these...

Persistent link: https://www.econbiz.de/10013370142

Bank Solvency Stress Tests with Fire Sales

Breuer, Thomas; Summer, Martin; Urošević, Branko - 2021

We present a simple and operational yet rigorous framework that combines current methods of bank solvency stress tests with a description of fire sales. We demonstrate the applicability of our framework to the EBA stress testing exercise. Fire sales are described by an equilibrium model which...

Persistent link: https://www.econbiz.de/10013370152

Input-output tables and some theory of defective matrices

Arora, Mohit; Basu, Deepankar - 2022

Recent developments in the theory of production networks offer interesting applications and revival of input-output analysis. Some recent papers have studied the propagation of a temporary, negative shock through an input-output network. Such analyses of shock propa- gation relies on...

Persistent link: https://www.econbiz.de/10013467134