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A latent variable credit risk model comprising nonlinear dependencies in a sector framework with a stochastically dependent loss given default

Maciag, Jakob; Löderbusch, Matthias - In: The journal of credit risk : published quarterly by … 13 (2017) 4, pp. 37-74

Persistent link: https://www.econbiz.de/10012041612

Nonparametric inference for distortion risk measures on tail regions

Hou, Yanxi; Wang, Xing - In: Insurance / Mathematics & economics 89 (2019), pp. 92-110

Persistent link: https://www.econbiz.de/10012133516

Credit and market risks measurement in carbon financing for Chinese banks

Zhang, Xi; Li, Jian - In: Energy economics 76 (2018), pp. 549-557

Persistent link: https://www.econbiz.de/10011976726

Market-risk optimization among the developed and emerging markets with cvar measure and copula simulation

Trabelsi, Nader; Tiwari, Aviral Kumar - In: Risks : open access journal 7 (2019) 3/78, pp. 1-20

In this paper, the generalized Pareto distribution (GPD) copula approach is utilized to solve the conditional value …-at-risk (CVaR) portfolio problem. Particularly, this approach used (i) copula to model the complete linear and non … minimizing CVaR measure and simulated copula returns combined outperforms the risk/return of domestic portfolios, such as the US …

Persistent link: https://www.econbiz.de/10012127555

Evolution of multivariate copulas in continuous and discrete processes

Yoshizawa, Yasukazu; Ishimura, Naoyuki - In: Intelligent systems in accounting finance and … 25 (2018) 1, pp. 44-59

Persistent link: https://www.econbiz.de/10011890511

Paths and indices of maximal tail dependence

Furman, Edward; Su, Jianxi; Zitikis, Ričardas - In: Astin bulletin : the journal of the International … 45 (2015) 3, pp. 661-678

Persistent link: https://www.econbiz.de/10011397592

Dependent frequency-severity modeling of insurance claims

Shi, Peng; Feng, Xiaoping; Ivantsova, Anastasia - In: Insurance / Mathematics & economics 64 (2015), pp. 417-428

Persistent link: https://www.econbiz.de/10011398126

Operational risk modelling in insurance and banking

Vukovic, Ognjen - In: Inventi impact: microfinance & banking (2016) 3, pp. 172-184

Persistent link: https://www.econbiz.de/10011567927

Conditional systemic risk with penalized copula

Okhrin, Ostap; Ristig, Alexander; Sheen, Jeffrey R.; … - 2015

, conditional quantiles are specified via hierarchical Archimedean copula. The parameters and structure of this copula are …

Persistent link: https://www.econbiz.de/10011309638

Statistical inference for a relative risk measure

He, Yi; Hou, Yanxi; Peng, Liang; Sheng, Jiliang - In: Journal of business & economic statistics : JBES ; a … 37 (2019) 2, pp. 301-311

Persistent link: https://www.econbiz.de/10012177340