portfolio allocation. We propose a new test procedure for detecting the full extent of such structural differences in the … approximation for finite samples. Moreover, we account for the multiplicity of the piecewise tail copula comparisons by adjusting …

dependency models: a Basel III Committee independent model, a Gaussian copula dependent model, and a Wrong Way Risk (WWR) with … copula dependency approach. The results show that the CVA underestimation when using a Gaussian copula for modelling the … independent model and using the Gaussian copula is about 527%–1609%, including the period of the 2007/2008 crisis. This has …

.S. banks. We compare the impact of established multivariate copulas and the multivariate skew t copula for estimating total … distributions, heterogeneous pairwise dependence and asymmetric dependence. We show that the skew t copula can be used effectively …

The choice of a copula model from limited data is a hard but important task. Motivated by the visual patterns that … different copula models produce in smoothed density heatmaps, we consider copula model selection as an image recognition problem … accuracy of the copula model selection task, particularly in scenarios where sample sizes and correlations are low. This …