This article examines the ability of time-varying Gaussian and Student t copulas to accurately predict the probability of joint extreme co-movements in stock index returns. Using a sample of more than 20 years of daily return observations of the Eurostoxx50 and Dow Jones Industrial stock...

Empirical results from several studies indicate that changes in interest rates andchanges in credit spreads are negatively related in the short run. These findings arefurther investigated by examining the dependence structure between interest rateand credit risk factor changes that are computed...

This article presents the concept of a copula-based top-down approachin the field of financial risk aggregation. Selected copulasand their properties are presented. Copula parameter estimation andgoodness-of-fit tests are explained and algorithms for the simulationof copulas and...