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Estimating portfolio credit losses in downturns

Moreira, Fernando - In: Financial markets, institutions & instruments 24 (2015) 5, pp. 391-414

Persistent link: https://www.econbiz.de/10011412170

Cerrato, Mario; Crosby, John; Kim, Minjoo; Zhao, Yang - 2015

Persistent link: https://www.econbiz.de/10011413074

Credit risk stress testing and copulas : is the Gaussian copula better than its reputation?

Koziol, Philipp; Schell, Carmen; Eckhardt, Michael - 2015

that the use of a Gaussian copula in credit risk stress testing should not by default be dismissed in favor of a heavy …-tailed copula which is widely recommended in the finance literature. Gaussian copula would be the appropriate choice for estimating … high stress effects under extreme scenarios. Heavy-tailed copulas like the Clayton or the t copula are recommended in the …

Persistent link: https://www.econbiz.de/10011419593

A general importance sampling algorithm for estimating portfolio loss probabilities in linear factor models

Scott, Alexandre; Metzler, Adam - In: Insurance / Mathematics & economics 64 (2015), pp. 279-293

Persistent link: https://www.econbiz.de/10011398073

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

Optimal gasoline hedging strategies using futures contracts and exchange-traded funds

Sukcharoen, Kunlapath; Choi, Hankyeung; Leatham, David J. - In: Applied economics 47 (2015) 31/33, pp. 3482-3498

Persistent link: https://www.econbiz.de/10011293520

Using copula functions in Bayesian analysis : a comparison of the lognormal conjugate

Herath, Hemantha S. B.; Kumar, Pranesh - In: The engineering economist : a journal devoted to the … 60 (2015) 2, pp. 89-108

Persistent link: https://www.econbiz.de/10011295316

Copula-based models of systemic risk in U.S. agriculture : implications for crop insurance and reinsurance contracts

Goodwin, Barry K.; Hungerford, Ashley - In: American journal of agricultural economics 97 (2015) 3, pp. 879-896

Persistent link: https://www.econbiz.de/10011296168

On a bivariate risk process with a dividend barrier strategy

Liu, Luyin; Cheung, Eric C. K. - In: Annals of actuarial science : publ. by the Institute of … 9 (2015) 1, pp. 3-35

Persistent link: https://www.econbiz.de/10011299206

A framework for tracking changes in the intensity of investment funds systemic risk

Jin, Xisong; Nadal-De Simone, Francisco - In: Journal of empirical finance 29 (2014), pp. 343-368

Persistent link: https://www.econbiz.de/10011300458