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Comparison of conditional distributions in portfolios of dependent risks

Sordo, Miguel A.; Suárez-Llorens, Alfonso; Bello, … - In: Insurance / Mathematics & economics 61 (2015), pp. 62-69

Persistent link: https://www.econbiz.de/10010515927

Asymptotic ruin probabilities for a multidimensional renewal risk model with multivariate regularly varying claims

Konstantinides, Dimitrios G.; Li, Jinzhu - In: Insurance / Mathematics & economics 69 (2016), pp. 38-44

Persistent link: https://www.econbiz.de/10011530921

Time lag dependence, cross-correlation and risk analysis of US energy and non-energy stock portfolios

Hernandez, Jose Arreola; Janabi, Mazin A. M. al; … - In: The journal of asset management 16 (2015) 7, pp. 467-483

Persistent link: https://www.econbiz.de/10011455734

Capital allocation based on the tail covariance premium adjusted

Wang, Min - In: Insurance / Mathematics & economics 57 (2014), pp. 125-131

Persistent link: https://www.econbiz.de/10010402702

Dependence uncertainty bounds for the expectile of a portfolio

Jakobsons, Edgars; Vanduffel, Steven - In: Risks : open access journal 3 (2015) 4, pp. 599-623

induces a positive dependence among the components, it is typically possible to improve the unconstrained lower bound. Finally …, the unconstrained dependence uncertainty spreads of expected shortfall, value-at-risk and the expectile are compared. …

Persistent link: https://www.econbiz.de/10011402861

Asset dependency structures and portfolio insurance strategies

Mantilla-Garcia, Daniel; Horst, Enrique ter; Audeguil, … - In: International journal of theoretical and applied finance 24 (2021) 3, pp. 1-28

Persistent link: https://www.econbiz.de/10012652614

Nonlinearity everywhere : implications for empirical finance, technical analysis and value at risk

Amini, Shima; Hudson, Robert; Urquhart, Andrew; Wang, Jian - In: The European journal of finance 27 (2021) 13, pp. 1326-1349

-linear dependence on previous returns. The expected sign of returns tends to reverse after large price movements and trends tend to …

Persistent link: https://www.econbiz.de/10012653097

Studying the properties of the Bitcoin as a diversifying and hedging asset through a copula analysis : constant and time-varying

Garcia-Jorcano, Laura; Benito, Sonia - In: Research in international business and finance 54 (2020), pp. 1-24

Persistent link: https://www.econbiz.de/10012581504

Risks and vulnerabilities in the U.S. bond mutual fund industry

Bouveret, Antoine; Yu, Jie - 2021

This paper assesses liquidity risk for the United States (U.S.) bond mutual funds industry and performs a range of analyses to identify which fund categories are more vulnerable to distress than others, and how sales from funds can impact financial stability. We develop a new measure to identify...

Persistent link: https://www.econbiz.de/10012605013

Risk aggregation and capital allocation using a new generalized Archimedean copula

Marri, Fouad; Moutanabbir, Khouzeima - In: Insurance / Mathematics & economics 102 (2022), pp. 75-90

Persistent link: https://www.econbiz.de/10013271960