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mathematical tool which can be applied in the assessment of composite financial risk. Copula-based dependence modelling is a … approach to risk modelling is the exibility in the choice of distributions used to model co-dependencies. The practical …
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the insurance sector. The downside risk of insurers is explicitly modelled by common and idiosyncratic risk factors. Since … reinsurance is important for the capacity of insurers, we measure risk dependence among European insurers and reinsurers. The … results point to a relatively low insurance sector wide risk. Dependence among insurers is higher than among reinsurers. …
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Kahneman's (1992) cumulative prospect theory (CPT). We argue that these options are overpriced because investors' overweight … match a set of subjective density functions derived from risk-neutral densities, including the CPT with the empirical …
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rationale behind the bans was that "bear raids", driven by short-sellers, would increase the individual and systemic risk of … financial institutions, especially for institutions with high leverage. This study uses Extreme Value Theory to estimate the … specifically target institutions with lower capital levels. Furthermore, institutions' risk-levels and changes in short …
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This paper studies empirical issues of one-factor yield curve models. We focus on the models by Ho & Lee (1986), Hull & White (1990) and Moraleda & Vorst (1996). To be consistent in the comparison of the models, we derive them all within the Ritkchen and Sankarasubramanian (1995) framework,...
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