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Multivariate VaRs for operational risk capital computation : a vine structure approach

Guégan, Dominique; Hassani, Bertrand K. - In: International journal of risk assessment and management … 17 (2013) 2, pp. 148-170

Persistent link: https://www.econbiz.de/10010385914

Semi-nonparametric estimation of operational risk capital with extreme loss events

Chen, Heng Z.; Cosslett, Stephen R. - In: The journal of operational risk 19 (2024) 1, pp. 51-86

Persistent link: https://www.econbiz.de/10014490229

Flexible dependence modeling of operational risk losses and its impact on total capital requirements

Brechmann, Eike; Czado, Claudia; Paterlini, Sandra - In: Journal of banking & finance 40 (2014), pp. 271-270

Persistent link: https://www.econbiz.de/10010402193

Semi-parametric estimation of income mobility with D‑vines using bivariate penalised splines

Schellhase, Christian; Kuhlenkasper, Torben - In: Wirtschafts- und sozialstatistisches Archiv : ASTA ; … 11 (2017) 2, pp. 107-134

Persistent link: https://www.econbiz.de/10011889820

Asymmetric forecast densities for U.S. macroeconomic variables from a Gaussian copula model of cross-sectional and serial dependence

Smith, Michael S.; Vahey, Shaun P. - In: Journal of business & economic statistics : JBES ; a … 34 (2016) 3, pp. 416-434

Persistent link: https://www.econbiz.de/10011691656

New concepts of symmetry for copulas

Mangold, Benedikt - 2017

This paper introduces two new concepts of symmetry for multivariate copulas with a focus on tails regions. Properties of the symmetry concepts are investigated for bivariate copulas and a connection to radial symmetry is established. Two nonparametric testing procedures for the new concepts are...

Persistent link: https://www.econbiz.de/10011600150

New concepts of symmetry for copulas

Mangold, Benedikt - 2017

Persistent link: https://www.econbiz.de/10011644608

Portfolio selection based on predictive joint return distribution

Jiang, Cuixia; Ding, Xiaoyi; Xu, Qifa; Liu, Yezheng - In: Applied economics 51 (2019) 2, pp. 196-206

Persistent link: https://www.econbiz.de/10012160468

Assessing market risk in BRICS and oil markets : an application of Markov switching and vine copula

Muteba Mwamba, John; Mwambi, Sutene Mwambetania - In: International Journal of Financial Studies : open … 9 (2021) 2, pp. 1-22

This paper investigates the dynamic tail dependence risk between BRICS economies and the world energy market, in the context of the COVID-19 financial crisis of 2020, in order to determine optimal investment decisions based on risk metrics. For this purpose, we employ a combination of novel...

Persistent link: https://www.econbiz.de/10012545199

Modeling multivariate operational losses via copula-based distributions with g-and-h marginals

Bee, Marco; Hambuckers, Julien - 2020

Persistent link: https://www.econbiz.de/10012417238