promising class of models are the hierarchical Archimedean copulae (HAC) that allow for non-exchangeable and non … for stock indices the copula parameter changes dynam- ically but the hierarchical structure is constant over time …

demand and supply conditions. In three out of the four investigated cases, exchange rate posed as a main source of risk for …

at Risk and Expected Shortfall from the time-varying copula models. We found that both reach low values when the oil … countries, using copula models. We used the Normal, Plackett, rotated-Gumbel, and Student's t copulas to measure the constant … dependence, and we captured the dynamic dependence using the Generalized Autoregressive Score with the Student's t copula. We …

We propose a measure for systemic risk: CoVaR, the value at risk (VaR) of financial institutions conditional on other … institutions being in distress. We define an institution's (marginal) contribution to systemic risk as the difference between CoVaR … systemic risk contribution. We argue for macro-prudential regulation based on the degree to which such characteristics forecast …

Archimedean opulas and allows for general non-exchangeable dependency structures. We show that the structure of the copula can be … uniquely recovered from all bivariate margins. We derive the distribution of the copula value, which is particularly useful for …

This paper make an overview of the copula theory from a practical side. We consider different methods of copula … Gaussian copulae but also Hierarchical Archimedean Copulae. Afterwards we provide an empirical part to support the theory. …

and dynamic Value-at-Risk of portfolio returns and Profit-and-Loss function. In our findings copula based multivariate …. Nevertheless it is not very often consistent with the real data. Copulae allows for an extension of the classical time series … models to nonelliptically distributed residuals. In this paper we apply different copulae to the calculation of the static …