investigation of tail dependencies, which is of particular interest in risk and survival applications. Copula modelling is also of …

Abstract Modeling the dependence between uncertainties in decision and risk analyses is an important part of the …

, but also provides a more flexible measure to capture an asymmetric dependence among assets. CoVaR, the Value-at-Risk of … risk contribution that the institution adds to the entire system. Combined with the modified CoVaR methodology and … estimation of the dependence structures through vine copula modeling, we empirically investigate systemic risk in 10 S&P 500 …

This paper considers the problem of measuring the exposure to dependence risk carried by a portfolio with an arbitrary … number of two-asset derivative contracts. We develop a worst-case risk measure computed over a set of dependence scenarios … exposure to dependence risk where usual sensitivity methods fail to reveal it. We also illustrate the ability of the proposed …

This paper describes the modelling of spread risk, in case of missing or illiquid market data, by using a subset of … actual historical spread dynamics. This is important when calculating credit valuation adjustment (CVA) risk charge and Value-at-Risk … one factor copula. A link between the actual and simulated residuals maintaining the risk dynamics is thus ensured. The …

We extend the classical compound Poisson risk model to consider the distribution of the maximum surplus before ruin …

risky, motivating us to manage their risk. In this paper, we aimed to forecast the risk of Decentraland's MANA and Theta … combination with Bitcoin. To measure their risk, we proposed a modified aggregate risk measure (AggM) defined as a convex … combination of aggregate value-at-risk (AggVaR) and aggregate expected shortfall (AggES). To capture their dependence, we employed …