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Measuring insurers' investment risk taking with asymmetric tail dependencies

Lai, Gene C.; Lu, Erin P.; Li, Haijun; Chen, Dennis C. - In: Risk management : a journal of risk, crisis and disaster 19 (2017) 1, pp. 1-31

Persistent link: https://www.econbiz.de/10011729302

Dependence structure and portfolio risk in Indian foreign exchange market : a GARCH-EVT-Copula approach

Karmakar, Madhusudan - In: The quarterly review of economics and finance : journal … 64 (2017), pp. 275-291

Persistent link: https://www.econbiz.de/10011792337

Comparing the riskiness of dependent portfolios via nested L-statistics

Samanthi, Ranadeera G.M.; Wei, Wei; Brazauskas, Vytaras - In: Annals of actuarial science : publ. by the Institute of … 11 (2017) 2, pp. 213-236

Persistent link: https://www.econbiz.de/10011820567

Dependency between risks and the insurer's economic capital : a copula-based GARCH model

Shim, Jeungbo; Lee, Seung-Hwan - In: Asia-Pacific journal of risk and insurance : APJRI 11 (2017) 1, pp. 1-29

Persistent link: https://www.econbiz.de/10011671161

Currency portfolio risk measurement with generalized autoregressive conditional heteroscedastic-extreme value theory-Copula Model

Omari, Cyprian Ondieki; Mwita, Peter N.; Gichuhi, Antony W. - In: Journal of mathematical finance 8 (2018) 2, pp. 457-477

Persistent link: https://www.econbiz.de/10011875347

Numerical comparison of multivariate models to forecasting risk measures

Müller, Fernanda Maria; Righi, Marcelo Brutti - In: Risk management : a journal of risk, crisis and disaster 20 (2018) 1, pp. 29-50

Persistent link: https://www.econbiz.de/10011859009

Assessing portfolio vulnerability to systemic risk : a vine copula and APARCH-DCC approach

Mba, Jules Clement - In: Financial innovation : FIN 10 (2024), pp. 1-36

This study evaluates the sensitivity and robustness of the systemic risk measure, Conditional Value-at-Risk (CoVaR … the vine copula and APARCH-DCC in assessing portfolio systemic risk. This advanced approach provides nuanced insights into … strengthening risk management practices. Future research could explore the sensitivity of the CoVaR to diferent weighting schemes …

Persistent link: https://www.econbiz.de/10014532413

Risk aggregation in non-life insurance : standard models vs. internal models

Eling, Martin; Jung, Kwangmin - In: Insurance / Mathematics & economics 95 (2020), pp. 183-198

Persistent link: https://www.econbiz.de/10012420134

Predicting food-safety risk and determining cost-effective risk-reduction strategies

Nganje, William; Burbidge, Linda D.; Denkyirah, Elisha Kwaku - In: Journal of risk and financial management : JRFM 14 (2021) 9, pp. 1-18

Food safety is a major risk for agribusiness firms. According to the Centers for Disease Control and Prevention (CDC …/HACCP) in 1996 and the Food Modernization Act in 2010, to reduce food-safety risk, retail meat facilities continue to experience … evaluate the effectiveness for three strategies that are used by retail meat facilities. Copula value-at-risk (CVaR) was …

Persistent link: https://www.econbiz.de/10012628139

Analysis of the depedence of stock risk based on copula theory

Li, Qi; Deng, Guangming; Tan, Xin - In: Inventi impact: emerging economies (2020) 2, pp. 99-106

Persistent link: https://www.econbiz.de/10012648489