total risk. Third, we estimate and compare alternative established frameworks for risk aggregation (including copula models … implementing a simple non-parametric methodology (empirical copula simulation- ECS) in order to quantify integrated risk, in that … relative to the standard Gaussian copula simulation (GCS), while the variance-covariance approximation (VCA) is much lower. ECS …

) and non-parametric copula estimates are applied. The results across this range of measures are consistent. The metrics …

Copula modelling is a popular tool in analysing the dependencies between variables. Copula modelling allows the … investigation of tail dependencies, which is of particular interest in risk and survival applications. Copula modelling is also of … 'boom' or 'bust'. Bivariate copula modelling has a rich variety of copulas that may be chosen to represent the modelled …

distribution of their returns by copula-GARCH models. They facilitate portfolio optimization targeted at a chosen combination of …

copula models. We use the normal, Student's t, rotated Gumbel, and symmetrized Joe-Clayton (SJC) copula models to estimate … show the dynamic dependence structures among three city banks using time-varying copula. …

countries, using copula models. We used the Normal, Plackett, rotated-Gumbel, and Student's t copulas to measure the constant … dependence, and we captured the dynamic dependence using the Generalized Autoregressive Score with the Student's t copula. We … at Risk and Expected Shortfall from the time-varying copula models. We found that both reach low values when the oil …

stablecoins (USDT and USDC). We examine the copula particle swarm optimization (CPSO) portfolio strategy against three other …

distribution and the Farlie-Gumbel-Morgenstern (FGM) copula-based bivariate exponential distribution. The reinsurance premium paid …

total risk. Third, we estimate and compare alternative established frameworks for risk aggregation (including copula models … implementing a simple non-parametric methodology (empirical copula simulation- ECS) in order to quantify integrated risk, in that … relative to the standard Gaussian copula simulation (GCS), while the variance-covariance approximation (VCA) is much lower. ECS …