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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

Bounds for functions of dependent risks

Embrechts, Paul; Puccetti, Giovanni - In: Finance and stochastics 10 (2006) 3, pp. 341-352

Persistent link: https://www.econbiz.de/10003380013

Aggregation-robustness and model uncertainty of regulatory risk measures

Embrechts, Paul; Wang, Bin; Wang, Ruodu - In: Finance and stochastics 19 (2015) 4, pp. 763-790

Persistent link: https://www.econbiz.de/10011420503

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

An academic response to Basel 3.5

Embrechts, Paul; Puccetti, Giovanni; Rüschendorf, Ludger; … - In: Risks : open access journal 2 (2014) 1, pp. 25-48

Recent crises in the financial industry have shown weaknesses in the modeling of Risk-Weighted Assets (RWAs). Relatively minor model changes may lead to substantial changes in the RWA numbers. Similar problems are encountered in the Value-at-Risk (VaR)-aggregation of risks. In this article, we...

Persistent link: https://www.econbiz.de/10010338097

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

Smooth extremal models in finance and insurance

Chavez-Demoulin, V.; Embrechts, Paul - In: The journal of risk and insurance : the journal of the … 71 (2004) 2, pp. 183-199

Persistent link: https://www.econbiz.de/10002086148

Aggregating risk capital, with an application to operational risk

Embrechts, Paul; Puccetti, Giovanni - In: The Geneva risk and insurance review 31 (2006) 2, pp. 71-90

Persistent link: https://www.econbiz.de/10003398777

Using copulae to bound the Value-at-Risk for functions of dependent risks

Embrechts, Paul; Höing, Andrea; Juri, Alessandro - In: Finance and stochastics 7 (2003) 2, pp. 145-167

Persistent link: https://www.econbiz.de/10001762730

Robustness in the optimization of risk measures

Embrechts, Paul; Schied, Alexander; Wang, Ruodu - In: Operations research 70 (2022) 1, pp. 95-110

Persistent link: https://www.econbiz.de/10012820643