The paper presents the research results on detection of structural breaks in copula models of multivariate time …

The paper is aimed at making comparative analysis of main market risk features based on the copula-modeling and on the … is used for practical implementation of the introduced methodology when dealing with copulas.Copula application makes it …

The article deals with the issue of copula use in the program of market risk hedging. Copula-models performance is … compared to the OLS-based ones. Fully parametric and semi-parametric approaches to copula-modeling are investigated. The copula …-the-less, it is shown that copula-based approaches are able to outperform OLS-based ones only for direct hedging programs, while …

This paper aims at presenting the research results of revealing a structural shift in copula-models of multivariate …

Paper is devoted to comparison of various copula models application to investment portfolio risk measurement … as expected shortfall (ES) and Value-at-Risk (VaR). Statistically justified approach to hierarchical copula definition is …

, copula models are used. Time variances in risk profile are accounted by identifying copula structural shift moment. The paper …