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Distorted mix method for constructing copulas with tail dependence

Li, Lujun; Yuen, K. C.; Yang, Jingping - In: Insurance / Mathematics & economics 57 (2014), pp. 77-89

Persistent link: https://www.econbiz.de/10010402723

Dynamic dependencies between the Tunisian stock market and other international stock markets : GARCH-EVT-Copula approach

Chebbi, A.; Hedhli, A. - In: Applied financial economics 24 (2014) 16/18, pp. 1215-1228

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Modeling dependence structure and forecasting portfolio value-at-risk with dynamic copulas

Cerrato, Mario; Crosby, John; Kim, Minjoo; Zhao, Yang - 2014

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Copula dynamics in CDOs

Choros-Tomczyk, Barbara; Härdle, Wolfgang; Overbeck, Ludger - 2012

consequently calculate Value-at-Risk measures for iTraxx Europe tranches. -- CDO ; multivariate distributions ; copula ; implied … correlations ; Value-at- Risk …

Persistent link: https://www.econbiz.de/10009531437

Quantifying the risk using copulae with nonparametric marginals

Bolancé, Catalina; Bahroui, Zuhair; Artís Ortuño, Manuel - In: Insurance / Mathematics & economics 58 (2014), pp. 46-56

Persistent link: https://www.econbiz.de/10010437637

Tail dependency in operational risk models

Sheikh, Ahraz; Gavin, John - In: Operational risk : practical approaches to implementation, (pp. 13-21). 2005

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Modeling dependencies in finance using copulae

Härdle, Wolfgang (contributor); Okhrin, Ostap (contributor) - 2008

In this paper we provide a review of copula theory with applications to finance. We illustrate the idea on the … allocation problems, Value-at-Risk and time series models. The paper is complemented with an extensive simulation study and an … application to financial data. -- Distribution functions ; dimension reduction ; risk management ; statistical models …

Persistent link: https://www.econbiz.de/10003727552

Modeling dependencies with copulae

Härdle, Wolfgang; Okhrin, Ostap; Okhrin, Yarema - In: Applied quantitative finance, (pp. 3-36). 2009

Persistent link: https://www.econbiz.de/10003745932

Modeling spot price dependence in Australian electricity markets with applications to risk management

Ignatieva, Ekaterina; Trück, Stefan - In: Computers & operations research : and their … 66 (2016), pp. 415-433

Persistent link: https://www.econbiz.de/10011429137

Stress testing of credit portfolios in light- and heavy-tailed models

Kalkbrener, Michael; Packham, Natalie - In: Journal of risk management in financial institutions 8 (2015) 1, pp. 34-44

Persistent link: https://www.econbiz.de/10010526460