Search Results - subject:"Risk dependence"

How to choose the dependence types in operational risk measurement? : a method considering strength, sensitivity and simplicity

Zhu, Xiaoqian; Wang, Yinghui; Liu, Mingxi; Li, Jianping - In: The journal of operational risk 18 (2023) 3, pp. 1-29

Persistent link: https://www.econbiz.de/10014490122

Risk dependence between energy corporations : a text-based measurement approach

Li, Jingyu; Li, Jianping; Zhu, Xiaoqian - In: International review of economics & finance : IREF 68 (2020), pp. 33-46

Persistent link: https://www.econbiz.de/10012486292

Measuring the contribution of Chinese financial institutions to systemic risk : an extended asymmetric CoVaR approach

Wen, Fenghua; Weng, Kaiyan; Zhou, Wei-Xing - In: Risk management : a journal of risk, crisis and disaster 22 (2020) 4, pp. 310-337

Persistent link: https://www.econbiz.de/10012382234

Empirical analysis of the relationship between oil and precious metals markets

Mokni, Khaled - In: Annals of financial economics 13 (2018) 1, pp. 1-20

Persistent link: https://www.econbiz.de/10011900663

Gagliardini, Patrick; Gouriéroux, Christian - Centre de Recherche en Économie et Statistique … - 2012

There is a growing literature on the possibility to identify correlation and contagion in qualitative risk analysis. Our paper considers this question by means of a model describing the joint dynamics of a set of individual binary processes. The two admissible values correspond to bad and good...

Persistent link: https://www.econbiz.de/10010548474

On the aggregation of credit, market and operational risks

Li, Jianping; Zhu, Xiaoqian; Lee, Cheng F.; Wu, Dengsheng; … - In: Review of quantitative finance and accounting 44 (2015) 1, pp. 161-189

Persistent link: https://www.econbiz.de/10011327637

Systemic risk and asymmetric responses in the financial industry

López-Espinosa, Germán; Moreno, Antonio; Rubia, Antonio; … - In: Journal of banking & finance 58 (2015), pp. 471-485

Persistent link: https://www.econbiz.de/10011544046

Change point detection for subprime crisis in American banking : from the perspective of risk dependence

Zhu, Xiaoqian; Xie, Yongjia; Li, Jianping; Wu, Dengsheng - In: International review of economics & finance : IREF 38 (2015), pp. 18-28

Persistent link: https://www.econbiz.de/10011572332

On the aggregation of credit, market and operational risks

Li, Jianping; Zhu, Xiaoqian; Lee, Cheng-Few; Wu, Dengsheng - In: Review of Quantitative Finance and Accounting 44 (2015) 1, pp. 161-189

Risk aggregation considering inter-risk dependence has always been a challenge to both researchers and practitioners …

Persistent link: https://www.econbiz.de/10011155215

Multivariate reinsurance designs for minimizing an insurer's capital requirement

Zhu, Yunzhou; Chi, Yichun; Weng, Chengguo - In: Insurance / Mathematics & economics 59 (2014), pp. 144-155

Persistent link: https://www.econbiz.de/10010469146