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A hierarchical copula-based world-wide valuation of sovereign risk

Bernardi, Enrico; Falangi, Federico; Romagnoli, Silvio - In: Insurance / Mathematics & economics 61 (2015), pp. 155-169

Persistent link: https://www.econbiz.de/10010515899

Efficient large scale global optimization through clustering-based population methods

Schoen, Fabio; Tigli, Luca - In: Computers & operations research : and their … 127 (2021), pp. 1-15

Persistent link: https://www.econbiz.de/10012432325

A general framework for the identification and categorization of risk : an application to the context of financial markets

Bender, Micha; Panz, Sven - In: Journal of risk 23 (2021) 4, pp. 21-49

Persistent link: https://www.econbiz.de/10012593434

Dependence of defaults and recoveries in structural credit risk models

Schäfer, Rudi; Koivusalo, Alexander F. R. - In: Economic modelling 30 (2013), pp. 1-9

Persistent link: https://www.econbiz.de/10009702275

On modelling insurance data by using a generalized lognormal distribution

García, Victoriano J.; Gómez-Déniz, Emilio; … - In: Revista de métodos cuantitativos para la economía y … 18 (2014), pp. 146-162

In this paper, a new heavy-tailed distribution is used to model data with a strong right tail, as often occurs in practical situations. The distribution proposed is derived from the lognormal distribution, by using the Marshall and Olkin procedure. Some basic properties of this new distribution...

Persistent link: https://www.econbiz.de/10010506043

Loss distribution of interbank contagion risk

Li, Shouwei; Sui, Xin; Xu, Tao - In: Applied economics letters 22 (2015) 10/12, pp. 830-834

Persistent link: https://www.econbiz.de/10011286074

Loss distributions : computational efficiency in an extended framework

Stahl, Daniel H. - In: The journal of credit risk : published quarterly by … 11 (2015) 4, pp. 29-42

Persistent link: https://www.econbiz.de/10011442456

Modeling very large losses

Gzyl, Henryk - In: The journal of operational risk 13 (2018) 2, pp. 59-81

Persistent link: https://www.econbiz.de/10011895066

Numerical modeling of dependent credit rating transitions with asynchronously moving industries

Boreiko, D. V.; Kaniovski, Yuri M.; Pflug, Georg - In: Computational economics 49 (2017) 3, pp. 499-516

Persistent link: https://www.econbiz.de/10011762130

Estimating expected and unexpected losses for agricultural mortgage portfolios

Dressler, Jonathan B.; Tauer, Loren W. - In: American journal of agricultural economics 98 (2016) 5, pp. 1470-1485

Persistent link: https://www.econbiz.de/10011635556