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Efficient algorithms for calculating risk measures and risk contributions in copula credit risk models

Huang, Zhenzhen; Kwok, Yue-Kuen; Xu, Ziqing - In: Insurance : mathematics and economics 115 (2024), pp. 132-150

Persistent link: https://www.econbiz.de/10015066737

The Interaction between Inflation and Inflation Uncertainty : A Multivariate Time-Varying Asymmetric Approach

Riadh, Riadh Abed - 2015

In the present study, we examine the relationship between inflation and inflation uncertainty using monthly Consumer Price Index for Tunisian, Turkish and Egypt covering the period 1990:M1-2014:M12. We adopt a multivariate asymmetric dynamic conditional correlation EGARCH framework. The...

Persistent link: https://www.econbiz.de/10013015304

Pick a number, but not just any number : valuation uncertainty and maximum willingness to pay

Boman, Mattias; Doctorman, Lindsey - In: Journal of environmental economics and policy 6 (2017) 3, pp. 283-304

Persistent link: https://www.econbiz.de/10011735415

A g-and-h Copula Approach to Risk Measurement in Multivariate Financial Models

Huggenberger, Markus - 2010

considered and fast random sampling is of importance. To illustrate our methodology, we fit copula GARCH models with g …

Persistent link: https://www.econbiz.de/10013138164

Forecasting the Risk of Speculative Assets by Means of Copula Distributions

Beckers, Benjamin - 2013

The GARCH(1,1) model and its extensions have become a standard econometric tool for modeling volatility dynamics of financial returns and portfolio risk. In this paper, we propose an adjustment of GARCH implied conditional value-at-risk and expected shortfall forecasts that exploits the...

Persistent link: https://www.econbiz.de/10013084434

Forecasting the risk of speculative assets by means of copula distributions

Beckers, Benjamin; Herwartz, Helmut; Seidel, Moritz - 2013

The GARCH(1,1) model and its extensions have become a standard econometric tool for modeling volatility dynamics of financial returns and port-folio risk. In this paper, we propose an adjustment of GARCH implied conditional value-at-risk and expected shortfall forecasts that exploits the...

Persistent link: https://www.econbiz.de/10009723920

Bayesian inference for latent factor copulas and application to financial risk forecasting

Schamberger, Benedikt; Gruber, Lutz F.; Czado, Claudia - In: Econometrics : open access journal 5 (2017) 2, pp. 1-23

couple the variables with the latent factor. We use adaptive rejection Metropolis sampling (ARMS) within Gibbs sampling for … posterior simulation: Gibbs sampling enables application to Bayesian problems, while ARMS is an adaptive strategy that replaces … of our proposed approach both in terms of sampling efficiency and accuracy. We provide an extensive application example …

Persistent link: https://www.econbiz.de/10011654443

ESG, Risk, and (Tail) Dependence

Bax, Karoline; Sahin, Özge; Czado, Claudia; Paterlini, … - 2021

While environmental, social, and governance (ESG) trading activity has been a distinctive feature of financial markets, the debate if ESG scores can also convey information regarding a company's riskiness remains open. Regulatory authorities, such as the European Banking Authority (EBA), have...

Persistent link: https://www.econbiz.de/10013227435

Multiple Risk Factor Dependence Structures : Copulas and Related Properties

Su, Jianxi - 2016

Copulas have become an important tool in the modern best practice Enterprise Risk Management, often supplanting other approaches to modelling stochastic dependence. However, choosing the 'right' copula is not an easy task, and the temptation to prefer a tractable rather than a meaningful...

Persistent link: https://www.econbiz.de/10012981920

Tourists' evaluation of climate change risks in the Canary Islands : a heterogeneous response modelling approach

León, Carmelo Javier; Aran̄a, Jorge E.; González, Matías - In: Tourism economics : the business and finance of tourism … 20 (2014) 4, pp. 849-868

Persistent link: https://www.econbiz.de/10010466830