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Measuring systemic risk with a dynamic copula-based approach
Jang, Hyun Jin; Pan, Xiao; Park, Sumin - In: Applied economics 53 (2021) 50, pp. 5843-5863
Persistent link: https://www.econbiz.de/10012627102
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Flexible modelling of multivariate risks in pricing margin protection insurance : modelling portfolio risks with mixtures of mixtures
Moosavian, Seyyed Ali Zeytoon Nejad; Goodwin, Barry K. - In: Applied economics 53 (2021) 4, pp. 411-440
Persistent link: https://www.econbiz.de/10012416054
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M-PRESS-CreditRisk : a holistic micro- and macroprudential approach to capital requirements
Tente, Natalia; Westernhagen, Natalja von; Slopek, Ulf … - 2017
M-PRESS-CreditRisk is a new top-down macro stress testing framework that can help supervisors gauge banks' capital adequacy related to credit risk. For the first time, it combines calibration of microprudential capital requirements and macroprudential buffers in a unified, coherent framework....
Persistent link: https://www.econbiz.de/10011663208
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Portfolio selection through Maslow's need hierarchy theory
Li, Zongxin; Chen, Zhiping; Hui, Yongchang - In: Applied economics 51 (2019) 4, pp. 364-372
Persistent link: https://www.econbiz.de/10012160546
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Tail dependence analysis of stock markets using extreme value theory
Singh, Abhay Kumar; Allen, David E.; Powell, Robert - In: Applied economics 49 (2017) 45, pp. 4588-4599
Persistent link: https://www.econbiz.de/10011844236
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Equity market neutral hedge funds and the stock market : an application of score-driven copula models
Ayala, Astrid; Blazsek, Szabolcs - In: Applied economics 50 (2018) 37, pp. 4005-4023
Persistent link: https://www.econbiz.de/10012060246
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Portfolio management with tail dependence
Bergmann, Daniel Reed; Savoia, José Roberto Ferreira; … - In: Applied economics 50 (2018) 51, pp. 5510-5520
Persistent link: https://www.econbiz.de/10012062255
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Non-linear dependence modelling with bivariate copulas : statistical arbitrage pairs trading on the S&P 100
Krauss, Christopher; Stübinger, Johannes - In: Applied economics 49 (2017) 52, pp. 5352-5369
Persistent link: https://www.econbiz.de/10011845139
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Portfolio selection based on predictive joint return distribution
Jiang, Cuixia; Ding, Xiaoyi; Xu, Qifa; Liu, Yezheng - In: Applied economics 51 (2019) 2, pp. 196-206
Persistent link: https://www.econbiz.de/10012160468
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Hedging effectiveness of the hedged portfolio : the expected utility maximization subject to the value-at-risk approach
Chuang, Chung-Chu; Wang, Yi-Hsien; Yeh, Tsai-Jung; … - In: Applied economics 47 (2015) 19/21, pp. 2040-2052
Persistent link: https://www.econbiz.de/10010513350