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Love and Death : A Freund Model with Frailty

Gouriéroux, Christian; Lu, Yang - Centre de Recherche en Économie et Statistique … - 2013

dependence is usually taken into account in the actuarial literature by introducing an Archimedean copula. This practice implies …

Persistent link: https://www.econbiz.de/10010857712

Shock on Variable or Shock on Distribution with Application to Stress-Tests

Dubecq, Simon; Gouriéroux, Christian - Centre de Recherche en Économie et Statistique … - 2012

The shocks on a stochastic system can be defined by means of either distribution, or variable. We relate these approaches and provide the link between the global and local effects of both types of shocks. These methodologies are used to perform stress-tests on the portfolio of financial...

Persistent link: https://www.econbiz.de/10010548475

Nonparametric Tests Dependence For Positive Quadrant

DENUIT, Michel; SCAILLET, Olivier - Swiss Finance Institute - 2002

the second procedure exploits the copula representation. For each specification a distance test and an intersection …

Persistent link: https://www.econbiz.de/10005771788

Testing for Concordance Ordering

CEBRIÁN, Ana C.; DENUIT, Michel; SCAILLET, Olivier - Swiss Finance Institute - 2002

. The parametric and semiparametric setting are based on the copula representation for multivariate distribution, which …

Persistent link: https://www.econbiz.de/10005771834

A Kolmogorov-Smirnov Type Test for Positive Quadrant Dependence

Scaillet, Olivier - Swiss Finance Institute - 2005

relate to the copula representation of positive quadrant dependence. For such a test we propose and justify inference relying …

Persistent link: https://www.econbiz.de/10005612063

A Asymptotic Total Variation Test for Copulas

Fermanian, Jean-David; Radulovic, Dragan; Wegkamp, Marten - Centre de Recherche en Économie et Statistique … - 2013

We propose a new goodness-of-fit test for copulas, based on empirical copula processes and nonparametric bootstrap … counterparts. The standard Kolmogorov-Smirnov type test for copulas that takes the supremum of the empirical copula process indexed … by orthants is extended by test statistics based on the supremum of the empirical copula process indexed by families of …

Persistent link: https://www.econbiz.de/10010747006

Are European Corporate Bond and Default Swap Markets Segmented?

Cossin, Didier; Lu, Hongze - Swiss Finance Institute - 2005

Market prices of corporate bond spreads and of credit default swap (CDS) rates do not match each other. In this paper, we argue that the liquidity premium, the cheapest-to-deliver (CTD) option and actual market segmentation explain the pricing differences. Using the European transaction data...

Persistent link: https://www.econbiz.de/10005771833

Predicting Tail-related Risk Measures: The Consequences of Using GARCH Filters for non-GARCH Data

JALAL, Amine; ROCKINGER, Michael - Swiss Finance Institute - 2004

We investigate the consequences for value-at-risk and expected short-fall purposes of using a GARCH filter on various mis-specified processes. We show that careful investigation of the adequacy of the GARCH filter is necessary since under mis-specifications a GARCH filter appears to do more harm...

Persistent link: https://www.econbiz.de/10005827312

Sensitivity Analysis of VaR Expected Shortfall for Portfolios Under Netting Agreements

FERMANIAN, Jean-David; SCAILLET, Olivier - Swiss Finance Institute - 2003

In this paper, we characterize explicitly the first derivative of the Value at Risk and the Expected Shortfall with respect to portfolio allocation when netting between positions exists. As a particular case, we examine a simple Gaussian example in order to illustrate the impact of netting...

Persistent link: https://www.econbiz.de/10005771798

Funding Liquidity Risk from A Regulatory Perspective

Gouriéroux, Christian; Heam, Jean-Cyprien - Centre de Recherche en Économie et Statistique … - 2013

In the Basel regulation the required capital of a financial institution is based on conditional measures of the risk of its future equity value such as Value-at-Risk, or Expected Shortfall. In Basel 2 the uncertainty on this equity value is captured by means of changes in asset prices (market...

Persistent link: https://www.econbiz.de/10010747020