Similar Search Results

A new test procedure for the choice of dependence structure in risk measurement : application to the US and UK stock market indices

Shim, Jeungbo; Lee, Eun-joo; Lee, Seung-Hwan - In: Applied economics 48 (2016) 13/15, pp. 1382-1389

Persistent link: https://www.econbiz.de/10011433225

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

Risk concentration based on Expectiles for extreme risks under FGM copula

Mao, Tiantian; Yang, Fan - In: Insurance / Mathematics & economics 64 (2015), pp. 429-439

Persistent link: https://www.econbiz.de/10011398136

On the aggregation of credit, market and operational risks

Li, Jianping; Zhu, Xiaoqian; Lee, Cheng F.; Wu, Dengsheng; … - In: Review of quantitative finance and accounting 44 (2015) 1, pp. 161-189

Persistent link: https://www.econbiz.de/10011327637

Measuring risk of portfolio : GARCH-copula model

Messaoud, Samia Ben; Aloui, Chaker - In: Journal of economic integration 30 (2015) 1, pp. 172-205

Persistent link: https://www.econbiz.de/10011406924

Systemic risk and copula models

Pflug, Georg; Pichler, Alois - In: Central European journal of operations research : CEJOR … 26 (2018) 2, pp. 465-483

Persistent link: https://www.econbiz.de/10011866135

Uncertainties and extreme risk spillover in the energy markets : a time-varying copula-based CoVaR approach

Ji, Qiang; Liu, Bing-Yue; Nehler, Henrik; Uddin, … - In: Energy economics 76 (2018), pp. 115-126

Persistent link: https://www.econbiz.de/10011976598

Path-consistent wrong-way risk : a structural model approach

Hofer, Markus - In: Journal of risk 19 (2016) 1, pp. 25-42

Persistent link: https://www.econbiz.de/10011579756

On the isolated impact of copulas on risk measurement : asimulation study

Berger, Theo - In: Economic modelling 58 (2016), pp. 475-481

Persistent link: https://www.econbiz.de/10011647502

Models for risk aggregation and sensitivity analysis : an application to bank economic capital

Inanoglu, Hulusi; Jacobs, Michael - In: Journal of risk and financial management : JRFM 2 (2009) 1, pp. 118-189

A challenge in enterprise risk measurement for diversified financial institutions is developing a coherent approach to … aggregating different risk types. This has been motivated by rapid financial innovation, developments in supervisory standards … risk, having Basel Pillar II of Basel implications. Second, we utilize data from major banking institutions’ loss …

Persistent link: https://www.econbiz.de/10011556126