risk by computing their probability of death. We employed different definitions of dead coins, ranging from academic …

In this paper, we analyzed a dataset of over 2000 crypto-assets to assess their credit risk by computing their …

in multivariate modelling and risk management. Some open questions related to multivariate discrete models that were …

We investigate the effect of model specification on the aggregation of (correlated) market and credit risk. We focus on … the functional form linking systematic credit risk drivers to default probabilities. Examples include the normal based … credit risk. The specification effect can lead to Value-at-Risk (VaR) reductions in the range of 3 percent to 47 percent …

5 to 7 years, to study the nature of the link between credit risk and market risk, widely acknowledged in the academic …

dynamic relation between market risk and credit risk in an equilibrium framework with a common non stationary factor. This … market risk and credit risk and predominant price leadership in the VIX market. CDS spreads can thus be replicated through … risk by building a pairs arbitrage strategy whose profits are driven by the common price discovery factor. The respective …

backtest at the 1% risk level for single models and for linear and log pools. We also find that the robust VaR backtest … exhibited by linear and log pools is better than the one of single models at the 5% risk level. Finally, the equally …

While there is increasing interest in crypto assets, the credit risk of these exchanges is still relatively unexplored …

. Two approaches based on the extreme value theory were compared: Block Maxima and the Peaks Over Threshold. Forecasts were …