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Copulas and portfolios in the electric vehicle sector
Stenšin, Andrej; Bloznelis, Daumantas - In: Journal of Risk and Financial Management 15 (2022) 3, pp. 1-20
distribution of their returns by copula-GARCH models. They facilitate portfolio optimization targeted at a chosen combination of …
Persistent link: https://www.econbiz.de/10013201435
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Modeling the optimal combination of proportional and stop-loss reinsurance with dependent claim and stochastic insurance premium
Sari, Suci Fratma; Hakim, Arief; Magdalena, Ikha; … - In: Journal of Risk and Financial Management 16 (2023) 2, pp. 1-20
distribution and the Farlie-Gumbel-Morgenstern (FGM) copula-based bivariate exponential distribution. The reinsurance premium paid …
Persistent link: https://www.econbiz.de/10014332842
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Risk Measures and Portfolio Optimization
Gambrah, Priscilla Serwaa Nkyira; Pirvu, Traian Adrian - In: Journal of Risk and Financial Management 7 (2014) 3, pp. 113-129
In this paper we investigate portfolio optimization under Value at Risk, Average Value at Risk and Limited Expected Loss constraints in a continuous time framework, where stocks follow a geometric Brownian motion. Analytic expressions for Value at Risk, Average Value at Risk and Limited Expected...
Persistent link: https://www.econbiz.de/10010945730
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Risk measures and portfolio optimization
Gambrah, Priscilla Serwaa Nkyira; Pirvu, Traian Adrian - In: Journal of Risk and Financial Management 7 (2014) 3, pp. 113-129
In this paper we investigate portfolio optimization under Value at Risk, Average Value at Risk and Limited Expected Loss constraints in a continuous time framework, where stocks follow a geometric Brownian motion. Analytic expressions for Value at Risk, Average Value at Risk and Limited Expected...
Persistent link: https://www.econbiz.de/10011843247
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Stress spillovers among financial markets: Evidence from Spain
Andrada Félix, Julián; Fernandez-Perez, Adrian; … - In: Journal of Risk and Financial Management 14 (2021) 11, pp. 1-21
Using a unique database, this paper examines the interconnection among stress indicators of the Spanish financial markets during the period of January 1999 to April 2021, applying both the connectedness framework and the Time-Varying Parameter Vector Autoregressive connectedness approach. Our...
Persistent link: https://www.econbiz.de/10013201210
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Models for Risk Aggregation and Sensitivity Analysis: An Application to Bank Economic Capital
Inanoglu, Hulusi; Jacobs, Michael - In: Journal of Risk and Financial Management 2 (2009) 1, pp. 118-189
total risk. Third, we estimate and compare alternative established frameworks for risk aggregation (including copula models … implementing a simple non-parametric methodology (empirical copula simulation- ECS) in order to quantify integrated risk, in that … relative to the standard Gaussian copula simulation (GCS), while the variance-covariance approximation (VCA) is much lower. ECS …
Persistent link: https://www.econbiz.de/10010699159
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Cryptocurrencies, diversification and the COVID-19 pandemic
Allen, David E. - In: Journal of Risk and Financial Management 15 (2022) 3, pp. 1-25
) and non-parametric copula estimates are applied. The results across this range of measures are consistent. The metrics …
Persistent link: https://www.econbiz.de/10013201406
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Copula modelling to analyse financial data
Dewick, Paul R.; Liu, Shuangzhe - In: Journal of Risk and Financial Management 15 (2022) 3, pp. 1-11
Copula modelling is a popular tool in analysing the dependencies between variables. Copula modelling allows the … investigation of tail dependencies, which is of particular interest in risk and survival applications. Copula modelling is also of … 'boom' or 'bust'. Bivariate copula modelling has a rich variety of copulas that may be chosen to represent the modelled …
Persistent link: https://www.econbiz.de/10013201407
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Modeling the dependence structure of share prices among three Chinese city banks
Liu, Guizhou; Cai, Xiao Jing; Hamori, Shigeyuki - In: Journal of Risk and Financial Management 11 (2018) 4, pp. 1-18
copula models. We use the normal, Student's t, rotated Gumbel, and symmetrized Joe-Clayton (SJC) copula models to estimate … show the dynamic dependence structures among three city banks using time-varying copula. …
Persistent link: https://www.econbiz.de/10012611072
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Conditional dependence between oil prices and exchange rates in BRICS countries: An application of the copula-GARCH model
He, Yijin; Hamori, Shigeyuki - In: Journal of Risk and Financial Management 12 (2019) 2, pp. 1-25
countries, using copula models. We used the Normal, Plackett, rotated-Gumbel, and Student's t copulas to measure the constant … dependence, and we captured the dynamic dependence using the Generalized Autoregressive Score with the Student's t copula. We … at Risk and Expected Shortfall from the time-varying copula models. We found that both reach low values when the oil …
Persistent link: https://www.econbiz.de/10012611099