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Some Statistical Pitfalls in Copula Modeling for Financial Applications
Fermanian, Jean-David; Scaillet, Olivier - Institut für Schweizerisches Bankwesen <Zürich>; … - 2004
In this paper we discuss some statistical pitfalls that may occur in modeling cross-dependences with copulas in financial applications. In particular we focus on issues arising in the estimation and the empirical choice of copulas as well as in the design of time-dependent copulas.
Persistent link: https://www.econbiz.de/10005858145
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Sensitivity Analysis of VaR and Expected Shortfall for Portfolios under Netting Agreements
Fermanian, Jean-David; Scaillet, Olivier - Institut für Schweizerisches Bankwesen <Zürich>; … - 2003
In this paper, we characterize explicitly the first derivative of the Value at Risk and the Expected Shortfall with … example in order to illustrate the impact of netting agreements in credit risk management. We further provide nonparametric …
Persistent link: https://www.econbiz.de/10005858398
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Optimal Importance Sampling for Credit Portfolios with Stochastic Approximation
Egloff, Daniel; Leippold, Markus; Jöhri, Stephan - Institut für Schweizerisches Bankwesen <Zürich> - 2005
calculating the risk figures of a typical medium-sized credit risk portfolio with 2000 obligors. Simulating the tail of the loss … the application of stochastic approximation methods in risk management.Keywords …
Persistent link: https://www.econbiz.de/10005858875