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Risk aggregation with copula for banking industry

Yoshiba, Toshinao - 2015

Persistent link: https://www.econbiz.de/10011375924

Risky risk measures : a note on underestimating financial risk under the normal assumption

Goodfellow, Christiane; Salm, Christian - In: Copernican Journal of Finance & Accounting : CJF&A 5 (2016) 2, pp. 85-108

Persistent link: https://www.econbiz.de/10012216155

Market-risk optimization among the developed and emerging markets with cvar measure and copula simulation

Trabelsi, Nader; Tiwari, Aviral Kumar - In: Risks : open access journal 7 (2019) 3/78, pp. 1-20

In this paper, the generalized Pareto distribution (GPD) copula approach is utilized to solve the conditional value …-at-risk (CVaR) portfolio problem. Particularly, this approach used (i) copula to model the complete linear and non … minimizing CVaR measure and simulated copula returns combined outperforms the risk/return of domestic portfolios, such as the US …

Persistent link: https://www.econbiz.de/10012127555

Alternative capital requirement for insurers : possibilities and issues

Zariņa, Ilze; Voronova, Irina; Pettere, Gaida - In: International journal of economics and business … 21 (2021) 1, pp. 41-61

Persistent link: https://www.econbiz.de/10012508726

Volatility modeling and dependence structure of ESG and conventional investments

Górka, Joanna; Kuziak, Katarzyna - In: Risks : open access journal 10 (2022) 1, pp. 1-25

-dependence coefficients from the copula-based approach are applied. The analysis period covered 2007 until 2019. The period of the COVID-19 …

Persistent link: https://www.econbiz.de/10012805838

Energy Trading and Risk Management : Commentary on Arbitrage, Risk Measurement, and Hedging Strategy

Nakajima, Tadahiro; Hamori, Shigeyuki - 2022

hedge ratio, copula, value-at-risk (VaR), expected shortfall, vector autoregressive (VAR) models, vector moving average (VMA …

Persistent link: https://www.econbiz.de/10013431279

Evaluating density forecasts using weighted multivariate scores in a risk management context

Cheng, Jie - In: Computational economics 64 (2024) 6, pp. 3617-3643

Persistent link: https://www.econbiz.de/10015144255

Businesses risks aggregation with Copula

Kamdem, J. Sadefo - In: Journal of quantitative economics : official journal of … 9 (2011) 2, pp. 58-72

Persistent link: https://www.econbiz.de/10010337911

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

Estimating hedged portfolio value-at-risk using the conditional copula : an illustration of model risk

Chen, Yi-Hsuan; Tu, Anthony H. - In: International review of economics & finance : IREF 27 (2013), pp. 514-528

Persistent link: https://www.econbiz.de/10009740775