The majority of African countries, included Senegal, continue to face widespread poverty. The objective of poverty reduction is accompanied by a set of initiatives and programs that might be reflected in the government budget allocation. A crucial point is to explore, in a context of severely...

This empirical study proposes a dependency analysis of monthly financial time series. We use the overlapping technique and non-parametric correlation in order to increase both accuracy and consistency. Copulas are used to test extreme co-movements between financial securities. Our results...

(Re)insurance companies need to model their liabilities' portfolio to compute the risk-adjusted capital (RAC) needed to support their business. The RAC depends on both the distribution and the dependence functions that are applied among the risks in a portfolio. We investigate the impact of...

This paper describes a flexible and tractable bottom-up dynamic correlation modelling framework with a consistent stochastic recovery specification. In this modelling framework, only the joint distributions of default indicators are determined from the calibration to the index tranches; and the...