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Energy portfolio risk management using time-varying copula methods : application to bonds, interest rate and VIX
Abdelkafi, Samar Zlitni; Ghorbel, Ahmed; Khoufi, Walid - In: American journal of finance and accounting 5 (2018) 4, pp. 371-393
Persistent link: https://www.econbiz.de/10011966860
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Dependence in credit default swap and equity markets : dynamic copula with Markov-switching
Fei, Fei; Fuertes, Ana María; Kalotychou, Elena - In: International journal of forecasting 33 (2017) 3, pp. 662-678
Persistent link: https://www.econbiz.de/10011746197
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Stress testing bank insolvency risk by systemic equity market shock : an expected shortfall approach
Yang, Hank Z. - In: Journal of risk management in financial institutions 16 (2022/2023) 3, pp. 211-227
Persistent link: https://www.econbiz.de/10014320203
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Copula-MGARCH with continuous covariance decomposition
Herwartz, Helmut; Raters, Fabian H. C. - In: Economics letters 133 (2015), pp. 73-76
Persistent link: https://www.econbiz.de/10011431988
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Forecasting portfolio-Value-at-Risk with nonparametric lower tail dependence estimates
Siburg, Karl Friedrich; Stoimenov, Pavel; Weiß, Gregor - In: Journal of banking & finance 54 (2015), pp. 129-140
Persistent link: https://www.econbiz.de/10011377805
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Measurement of operational risk regulatory capital in the banking sector : developed countries versus emerging markets
Hassanein, Medhat; Bouaddi, Mohammed; Karim, Talha - In: The journal of operational risk 16 (2021) 1, pp. 12-43
Persistent link: https://www.econbiz.de/10013168027
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Is Bitcoin a better portfolio diversifier than gold? : a copula and sectoral analysis for China
Pho, Kim-Hung; Ly, Sel; Lu, Richard; Hoang, Thi Hong Van; … - In: International review of financial analysis 74 (2021), pp. 1-30
Persistent link: https://www.econbiz.de/10012803931
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Dependency between risks and the insurer's economic capital : a copula-based GARCH model
Shim, Jeungbo; Lee, Seung-Hwan - In: Asia-Pacific journal of risk and insurance : APJRI 11 (2017) 1, pp. 1-29
Persistent link: https://www.econbiz.de/10011671161
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Estimating expected and unexpected losses for agricultural mortgage portfolios
Dressler, Jonathan B.; Tauer, Loren W. - In: American journal of agricultural economics 98 (2016) 5, pp. 1470-1485
Persistent link: https://www.econbiz.de/10011635556
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Alternative capital requirement for insurers : possibilities and issues
Zariņa, Ilze; Voronova, Irina; Pettere, Gaida - In: International journal of economics and business … 21 (2021) 1, pp. 41-61
Persistent link: https://www.econbiz.de/10012508726