Systemic risk modeling with Lévy copulas
Year of publication: |
2021
|
---|---|
Authors: | Liu, Yuhao ; Djurić, Petar M. ; Kim, Young Shin ; Račev, Svetlozar T. ; Glimm, James |
Published in: |
Journal of risk and financial management : JRFM. - Basel : MDPI, ISSN 1911-8074, ZDB-ID 2739117-6. - Vol. 14.2021, 6, Art.-No. 251, p. 1-20
|
Subject: | backtesting | CoVaR | Lévy process | NTS copula | Multivariate Verteilung | Multivariate distribution | Risikomaß | Risk measure | Systemrisiko | Systemic risk | Stochastischer Prozess | Stochastic process | Finanzmathematik | Mathematical finance | Optionspreistheorie | Option pricing theory |
Type of publication: | Article |
---|---|
Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
Language: | English |
Other identifiers: | 10.3390/jrfm14060251 [DOI] hdl:10419/239667 [Handle] |
Source: | ECONIS - Online Catalogue of the ZBW |
-
Pricing and hedging of variable annuities with state-dependent fees
Delong, Łukasz, (2014)
-
Systemic risk in Chinese financial industries : a vine copula grouped CoVaR approach
Hao, Xiaozhen, (2022)
-
Systemic risk : conditional distortion risk measures
Dhaene, Jan, (2022)
- More ...
-
Systemic risk modeling with Lévy copulas
Liu, Yuhao, (2021)
-
A new tempered stable distribution and its application to finance
Kim, Young Shin, (2008)
-
Barrier option pricing by branching processes
Mitov, Georgi K., (2009)
- More ...