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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
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Quantitative risk management : concepts, techniques and tools
McNeil, Alexander J.; Frey, Rüdiger; Embrechts, Paul - 2005
Persistent link: https://www.econbiz.de/10002934295
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De Copulis Non Est Disputandum - Copulae : An Overview
Härdle, Wolfgang - 2017
and dynamic Value-at-Risk of portfolio returns and Profit-and-Loss function. In our findings copula based multivariate …
Persistent link: https://www.econbiz.de/10012966281
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Multivariate Modellierung operationeller Risiken in Kreditinstituten
Bayer, Verena - 2012
Operationelle Risiken betreffen nahezu jede Geschäftstätigkeit von Banken. Sie verfügen über ein hohes Schadenspotential und stellen eine große Herausforderung für das Risikomanagement der Banken dar. Verena Bayer untersucht Ansätze zur Quantifizierung operationeller Risiken und der...
Persistent link: https://www.econbiz.de/10014016438
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Modeling International Financial Returns with a Multivariate Regime-Switching Copula
Chollete, Lorán - 2010
of copula is important for risk management, since it modifies the Value-at-Risk (VaR) of international portfolios and …
Persistent link: https://www.econbiz.de/10013150667
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Modeling international financial returns with a multivariate regime-switching copula
Chollete, Lorán; Heinen, Andréas; Valdesogo, Alfonso - In: Journal of financial econometrics : official journal of … 7 (2009) 4, pp. 437-480
Persistent link: https://www.econbiz.de/10003907528
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De copulis non est disputandum : copulae: an overview
Härdle, Wolfgang; Okhrin, Ostap - In: Advances in statistical analysis : AStA ; a journal of … 94 (2010) 1, pp. 1-31
Persistent link: https://www.econbiz.de/10003951049
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Multivariate Modellierung operationeller Risiken in Kreditinstituten
Bayer, Verena - 2012 - 1. Aufl.
Persistent link: https://www.econbiz.de/10009505637
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Modelling general dependence between commodity forward curves
Zolotko, Mikhail; Okhrin, Ostap - 2012
-of-sample forecasts of the distribution of the returns of various commodity futures portfolios. The Value-at-Risk analysis shows that HAC … GARCH ; hierarchical Archimedean copula ; Value-at-Risk …
Persistent link: https://www.econbiz.de/10009631566
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Global risk evolution and diversification : a Copula-DCC-GARCH model approach
Righi, Marcelo Brutti; Ceretta, Paulo Sergio - In: Revista Brasileira de Finanças : RBFin 10 (2012) 4, pp. 529-550
Persistent link: https://www.econbiz.de/10010412236