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.

We cionsider semiparmetric assymetric kernel density estimators when the unkonwn density has support on [0,∞). We provide a unifying framework which contains assymmetric kernel versions of several semiparametric density estimators considered previously in the literature. This framework allows...

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...

In this paper, we investigate the relative performance of Value-at-Risk (VaR) models with the daily stock market returns of nine di.erent emerging markets. In addition to well-known modeling approaches such as variance-covariance method and historical simulation, we study the extreme value...

We derive a general framework for collateral risk control determination for central bank's open market operations. This framework allows us to determine the schedule of haircuts consistent with the risk tolerated by the central bank while at the same time reducing the possibility of arbitrage...