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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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A multivariate extension of the Lorenz curve based on copulas and a related multivariate Gini coefficient
Grothe, Oliver; Kächele, Fabian; Schmid, Friedrich - In: Journal of economic inequality 20 (2022) 3, pp. 727-748
Persistent link: https://www.econbiz.de/10013442158
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From point forecasts to multivariate probabilistic forecasts : the Schaake shuffle for day-ahead electricity price forecasting
Grothe, Oliver; Kächele, Fabian; Krüger, Fabian - In: Energy economics 120 (2023), pp. 1-13
Persistent link: https://www.econbiz.de/10014283270
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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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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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Dependencies of extreme events in finance : modelling, statistics and data analysis
Schmidt, Rafael - 2003
Persistent link: https://www.econbiz.de/10001973369
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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