and dynamic Value-at-Risk of portfolio returns and Profit-and-Loss function. In our findings copula based multivariate …. Nevertheless it is not very often consistent with the real data. Copulae allows for an extension of the classical time series … models to nonelliptically distributed residuals. In this paper we apply different copulae to the calculation of the static …

downside risk and recognizes the heavytail feature of the asset return distributions. Then we show that optimal portfolio sizes …

Systemic weather risk is a major obstacle for the formation of private (non- subsidized) crop insurance. This paper … conditions in different locations. For that purpose copula methods are employed that allow an adequate description of stochastic … at a national scale. Thus the possibility to reduce risk exposure by increasing the trading area of the insurance is …

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 …

We propose a measure for systemic risk: CoVaR, the value at risk (VaR) of financial institutions conditional on other … institutions being in distress. We define an institution's (marginal) contribution to systemic risk as the difference between CoVaR … systemic risk contribution. We argue for macro-prudential regulation based on the degree to which such characteristics forecast …

traditional optimal mean-variance (MV) and conditional value-at-risk (CVaR) portfolios. First we derive conditions under which the … risk-free, assuming binomial or normal asset returns. In addition we run simulation experiments to study LA investment … of symmetric (Gaussian copula) or asymmetric (Clayton copula) type. Finally, using 13 EU and US assets, we implement the …

Archimedean opulas and allows for general non-exchangeable dependency structures. We show that the structure of the copula can be … uniquely recovered from all bivariate margins. We derive the distribution of the copula value, which is particularly useful for …

promising class of models are the hierarchical Archimedean copulae (HAC) that allow for non-exchangeable and non … for stock indices the copula parameter changes dynam- ically but the hierarchical structure is constant over time …

This paper make an overview of the copula theory from a practical side. We consider different methods of copula … Gaussian copulae but also Hierarchical Archimedean Copulae. Afterwards we provide an empirical part to support the theory. …

The paper provides an axiomatic characterization of dynamic risk measures for multi-period financial positions. For the … special case of a terminal cash flow, we require that risk depends on its conditional distribution only. We prove a … representation theorem for dynamic risk measures and investigate their relation to static risk measures. Two notions of dynamic …