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Measuring portfolio risk of non-energy commodity using time-varying vine copula

Attafi, Zeineb; Ghorbel, Ahmed; Boujelbene, Younes - In: International Journal of Financial Markets and … 7 (2019) 2, pp. 163-190

Persistent link: https://www.econbiz.de/10012253560

Evaluating risk measures and capital allocations based on multi-losses driven by a heavy-tailed background risk : the multivariate Pareto-II model

Asimit, Alexandru V.; Vernic, Raluca; Zitikis, Riċardas - In: Risks : open access journal 1 (2013) 1, pp. 14-33

Evaluating risk measures, premiums, and capital allocation based on dependent multi-losses is a notoriously difficult task. In this paper, we demonstrate how this can be successfully accomplished when losses follow the multivariate Pareto distribution of the second kind, which is an attractive...

Persistent link: https://www.econbiz.de/10009754682

The impact of global financial crisis on the dependence structure of equity markets and on risk management

Ghorbel, Ahmed; Trabelsi, Abdelwahed - In: International journal of managerial and financial accounting 5 (2013) 1, pp. 1-32

Persistent link: https://www.econbiz.de/10009730450

Optimal reinsurance in the presence of counterparty default risk

Asimit, Alexandru V.; Badescu, Alexandru M.; Cheung, Ka Chun - In: Insurance / Mathematics & economics 53 (2013) 3, pp. 690-697

Persistent link: https://www.econbiz.de/10010227904

Energy portfolio risk management using time-varying extreme value copula methods

Ghorbel, Ahmed; Trabelsi, Abdelwahed - In: Economic modelling 38 (2014), pp. 470-485

Persistent link: https://www.econbiz.de/10010419011

Risk sharing with multiple indemnity environments

Asimit, Alexandru V.; Boonen, Tim J.; Chi, Yichun; … - In: European journal of operational research : EJOR 295 (2021) 2, pp. 587-603

Persistent link: https://www.econbiz.de/10013205971

Connectedness between cryptocurrencies and foreign exchange markets : implication for risk management

Chemkha, Rahma; BenSaïda, Ahmed; Ghorbel, Ahmed - In: Journal of multinational financial management 59 (2021), pp. 1-13

Persistent link: https://www.econbiz.de/10012794677

Energy portfolio risk management using time-varying copula methods : application to bonds, interest rate and VIX

Abdelkafi, Samar Zlitni; Ghorbel, Ahmed; Khoufi, Walid - In: American journal of finance and accounting 5 (2018) 4, pp. 371-393

Persistent link: https://www.econbiz.de/10011966860

Aggregation of randomly weighted large risks

Asimit, Alexandru V.; Hashorva, Enkelejd; Kortschak, Dominik - In: IMA journal of management mathematics 28 (2017) 3, pp. 403-419

Persistent link: https://www.econbiz.de/10011774250