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The impact of counterparty risk on the basis risk of industry loss warranties and on (collateralized) reinsurance under (non-)linear dependence structures
Bockius, Heike; Gatzert, Nadine - In: The journal of risk finance : JRF 23 (2022) 3, pp. 245-263
Persistent link: https://www.econbiz.de/10013370544
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Energy Trading and Risk Management : Commentary on Arbitrage, Risk Measurement, and Hedging Strategy
Nakajima, Tadahiro; Hamori, Shigeyuki - 2022
Introduction -- Arbitrage Trading in Energy Market and Risk Measurement -- Fuel Markets Connectedness and Fuel … Portfolio Risk -- Hedging Strategy with Futures Contracts -- Investing in a portfolio consisting of energies and related … and practices of energy trading and risk management. This book reveals the characteristics of energy markets using …
Persistent link: https://www.econbiz.de/10013431279
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Some systemic risk indicators
El Qalli, Yassine; Said, Khalil - In: Risk and decision analysis 9 (2023) 2/4, pp. 39-56
Persistent link: https://www.econbiz.de/10014473406
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Risk implications of dependence in the commodities : a copula-based analysis
Jain, Prachi; Maitra, Debasish - In: Global finance journal 57 (2023), pp. 1-22
Persistent link: https://www.econbiz.de/10014479135
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Modeling underwriting risk : a copula regression analysis on U.S. property-casualty insurance byline loss ratios
Tsai, Jeffrey Tzuhao; Lo, Chien-Ling - In: Pacific-Basin finance journal 83 (2024), pp. 1-18
Persistent link: https://www.econbiz.de/10014491177
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Robust portfolio selection with subjective risk aversion under dependence uncertainty
Su, Xiaoshan; Li, Yuhan - In: Economic modelling 132 (2024), pp. 1-16
Persistent link: https://www.econbiz.de/10014547968
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Efficient Algorithms for Calculating Risk Measures and Risk Contributions in Copula Credit Models
Huang, Zhenzhen; Kwok, Yue Kuen; XU, Ziqing - 2023
The numerical calculations of marginal risk contributions associated with the two risk measures, Value-at-Risk and … computational efficiency and accuracy for computing marginal risk contributions of the popular Gaussian copula model and t … parameters in the t-copula model. Extensive numerical tests on computing risk contributions were performed on various copula …
Persistent link: https://www.econbiz.de/10014260450
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Comparing the risk spillover from oil and gas to investment grade and high-yield bonds through optimal copulas
Rahman, Md Lutfur; Shahzad, Syed Jawad Hussain; Uddin, … - In: The energy journal 43 (2022) 1, pp. 215-239
Persistent link: https://www.econbiz.de/10013187659
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Efficient Algorithms for Calculating Risk Measures and Risk Contributions in Copula Credit Models
Huang, Zhenzhen; Kwok, Yue Kuen; Xu, Ziqing - 2023
The numerical calculations of marginal risk contributions associated with the two risk measures, Value-at-Risk and … computational efficiency and accuracy for computing marginal risk contributions of the popular Gaussian copula model and t … parameters in the t-copula model. Extensive numerical tests on computing risk contributions were performed on various copula …
Persistent link: https://www.econbiz.de/10014257228
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GARCH-MIDAS-GAS-copula model for CoVaR and risk spillover in stock markets
Yao, Can-Zhong; Li, Min-Jian - In: The North American journal of economics and finance : a … 66 (2023), pp. 1-13
Persistent link: https://www.econbiz.de/10014483642