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Time dynamic and hierarchical dependence modelling of an aggregated portfolio of trading books: a multivariate nonparametric approach
Gaisser, Sandra; Memmel, Christoph; Schmidt, Rafael; … - 2009
From a banking supervisory perspective, this paper analyses aspects of market risk of an aggregated trading portfolio comprised of the trading books of 11 German banks with a regulatory approved internal market risk model. Based on real, clean profit and loss data and Value-at-Risk estimates of...
Persistent link: https://www.econbiz.de/10010298783
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Time dynamic and hierarchical dependence modelling of an aggregated portfolio of trading books : a multivariate nonparametric approach
Gaißer, Sandra Caterina; Memmel, Christoph; Schmidt, Rafael - 2009
From a banking supervisory perspective, this paper analyses aspects of market risk of an aggregated trading portfolio comprised of the trading books of 11 German banks with a regulatory approved internal market risk model. Based on real, clean profit and loss data and Value-at-Risk estimates of...
Persistent link: https://www.econbiz.de/10003846947
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Time dynamic and hierarchical dependence modeling of a supervisory portfolio of banks : a multivariate nonparametric approach
Gaißer, Sandra Caterina; Memmel, Christoph; Schmidt, Rafael - In: Journal of risk 14 (2011/12) 1, pp. 3-40
Persistent link: https://www.econbiz.de/10011301316
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Time Dynamic and Hierarchical Dependence Modelling of an Aggregated Portfolio of Trading Books : A Multivariate Nonparametric Approach
Gaisser, Sandra - 2011
From a banking supervisory perspective, this paper analyzes aspects of market risk of a supervisory trading portfolio comprised of the trading books of eleven German banks with a regulatory approved internal market risk model. Based on real, clean profit-and-loss data and value-at-risk...
Persistent link: https://www.econbiz.de/10013118820
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Time Dynamic and Hierarchical Dependence Modelling of an Aggregated Portfolio of Trading Books : A Multivariate Nonparametric Approach
Gaisser, Sandra - 2016
From a banking supervisory perspective, this paper analyses aspects of market risk of an aggregated trading portfolio comprised of the trading books of 11 German banks with a regulatory approved internal market risk model. Based on real, clean profit and loss data and Value-at-Risk estimates of...
Persistent link: https://www.econbiz.de/10012989258
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Credit risk modelling and estimation via elliptical copulae
Schmidt, Rafael - In: Credit risk : measurement, evaluation and management ; …, (pp. 267-289). 2003
Persistent link: https://www.econbiz.de/10002002400
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Statistics for copula-based measures of multivariate association : theory and applications to financial data
Gaißer, Sandra Caterina - 2011
Persistent link: https://www.econbiz.de/10009125241
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Interplay between distributional and temporal dependence : an empirical study with high-frequency asset returns
Bingham, Nick H.; Schmidt, Rafael - In: From stochastic calculus to mathematical finance : the …, (pp. 69-90). 2006
Persistent link: https://www.econbiz.de/10003287150
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Dependencies of extreme events in finance : modelling, statistics and data analysis
Schmidt, Rafael - 2003
Persistent link: https://www.econbiz.de/10001973369