Similar Search Results

Comparing risk measures when aggregating market risk and credit risk using different copulas

Maciag, Jakob; Hesse, Frederik; Boeve, Rolf; Pfingsten, … - In: Journal of risk 18 (2016) 5, pp. 101-136

Persistent link: https://www.econbiz.de/10011598393

Remarks on a copula-based conditional value at risk for the portfolio problem

Molina Barreto, Andres Mauricio; Ishimura, Naoyuki - In: Intelligent systems in accounting, finance & management 30 (2023) 3, pp. 150-170

Persistent link: https://www.econbiz.de/10014375330

Modeling international financial returns with a multivariate regime switching copula

Chollete, Loran (contributor); Heinen, Andréas (contributor) - 2008

Persistent link: https://www.econbiz.de/10003726991

Modeling dependencies in finance using copulae

Härdle, Wolfgang (contributor); Okhrin, Ostap (contributor) - 2008

In this paper we provide a review of copula theory with applications to finance. We illustrate the idea on the bivariate framework and discuss the simple, elliptical and Archimedean classes of copulae. Since the copulae model the dependency structure between random variables, next we explain the...