We develop a novel high-dimensional non-Gaussian modeling framework to infer measures of conditional and joint default risk for many financial sector firms. The model is based on a dynamic Generalized Hyperbolic Skewed-t block-equicorrelation copula with time-varying volatility and dependence...

This paper investigates the effects of risk aversion on portfolio choices in terms of life insurance purchase and risky asset investment. The theoretical results show that households with very low degree of risk aversion allocate all of their investments to risky assets and have little desire to...