Данная часть завершает серию консультационных публикаций Деана Фантаццини на тему «Эконометрический анализ финансовых данных в задачах управления риском». В...

In this paper, we perform analysis of systemic risk in the financial and energy sector in Europe. In our investigation, we work with daily time series of CDS spreads. We employ factor copula model with GAS dynamics of Oh and Patton (2016) for estimation purposes of dependency structures between...

This paper proposes a set of models which can be used to estimate the market risk for a portfolio of crypto-currencies, and simultaneously to estimate also their credit risk using the Zero Price Probability (ZPP) model by Fantazzini et al (2008), which is a methodology to compute the...

We employ several copula functions to capture conditional and tail dependence during periods of extreme volatility and reverse conditions between shipping, financial, commodity and credit markets. We find that shocks in the shipping market coincide with dramatic changes in other markets and...

In this paper we develop a flexible and analytically tractable framework to compute the Credit Expected Shortfall in an explit if form through Kumaraswamy (1980) distribution with both default rate and recovery rate time-varying. The default rate is assumed to follow a square root process, and...

Portfolio credit risk is often concerned with the tail distribution of the total loss, defined to be the sum of default losses incurred from a collection of individual loans made out to the obligors. The default for an individual loan occurs when the assets of a company (or individual) fall...