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Risk analysis of Australia's Victorian dairy farms using multivariate copulae

Godfrey, Sosheel Solomon; Ip, Ryan H. L.; Nordblom, … - In: Journal of agricultural and applied economics : JAEE 54 (2022) 1, pp. 72-92

Persistent link: https://www.econbiz.de/10013341784

Modelling European sovereign default probabilities with copulas

Szetela, Beata; Mentel, Grzegorz; Brożyna, Jacek - In: Economic research 32 (2019) 1,2, pp. 1716-1726

Persistent link: https://www.econbiz.de/10012433859

Parisian types of ruin probabilities for a class of dependent risk-reserve processes

Bladt, Mogens; Nielsen, Bo Friis; Peralta, Oscar - In: Scandinavian actuarial journal 2019 (2019) 1, pp. 32-61

Persistent link: https://www.econbiz.de/10012194929

Gerber-Shiu function in a class of delayed and perturbed risk model with dependence

Adékambi, Franck; Takouda, Essodina - In: Risks : open access journal 8 (2020) 1/30, pp. 1-25

This paper considers the risk model perturbed by a diffusion process with a time delay in the arrival of the first two …

Persistent link: https://www.econbiz.de/10012203649

Model uncertainty and VaR aggregation

Embrechts, Paul; Puccetti, Giovanni; Rüschendorf, Ludger - In: Journal of banking & finance 37 (2013) 8, pp. 2750-2764

Persistent link: https://www.econbiz.de/10009776377

Multivariate crash risk

Chabi-Yo, Fousseni; Huggenberger, Markus; Weigert, Florian - 2019 - This version: February 2019

This paper investigates whether multivariate crash risk is priced in the cross- section of expected stock returns …. Motivated by a theoretical asset pricing model, we capture the multivariate crash risk of a stock by a combined measure based on …. We find that stocks with a high exposure to joint crashes of the market and the momentum factor bear a risk premium which …

Persistent link: https://www.econbiz.de/10011993538