This paper features an application of Regular Vine copulas which are a novel and recently developed statistical and mathematical tool which can be applied in the assessment of composite financial risk. Copula-based dependence modelling is a popular tool in financial applications, but is usually...

The quantification of risk and dependence are major components of financial risk modelling. Financial risk modelling frequenty uses the assumption of a normal distribution when considereing the return series which makes modelling easy but is inefficient if the data is not normally distributed or...

Using quantile regression, this article examines default risk of emerging and speculative companies in Australia and the United States as compared to established and investment entities. We use two datasets for each of the two countries, one speculative and one established. In the US we compare...