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Assessing the risk characteristics of the cryptocurrency market : a GARCH-EVT-Copula approach
Bruhn, Pascal; Ernst, Dietmar - In: Journal of risk and financial management : JRFM 15 (2022) 8, pp. 1-28
The cryptocurrency market offers significant investment opportunities but also entails higher risks as compared to other asset classes. This article aims to analyse the financial risk characteristics of individual cryptocurrencies and of a broad cryptocurrency market portfolio. We construct a...
Persistent link: https://www.econbiz.de/10013380409
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Estimating the basis risk of index-linked hedging strategies using multivariate extreme value theory
Kellner, Ralf; Gatzert, Nadine - In: Journal of banking & finance 37 (2013) 11, pp. 4353-4367
Persistent link: https://www.econbiz.de/10010247034
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Risk- and value-based management for non-life insurers under solvency constraints
Eckert, Johanna; Gatzert, Nadine - In: European journal of operational research : EJOR 266 (2018) 2, pp. 761-774
Persistent link: https://www.econbiz.de/10011811930
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The impact of counterparty risk on the basis risk of industry loss warranties and on (collateralized) reinsurance under (non-)linear dependence structures
Bockius, Heike; Gatzert, Nadine - In: The journal of risk finance : JRF 23 (2022) 3, pp. 245-263
Persistent link: https://www.econbiz.de/10013370544