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Risk aggregation with copula for banking industry

Yoshiba, Toshinao - 2015

Persistent link: https://www.econbiz.de/10011375924

Copulas, degenerate distributions and quantile tests in competing risk problems

Bedford, Tim (contributor) - 2004

Persistent link: https://www.econbiz.de/10002244706

Model uncertainty and VaR aggregation

Embrechts, Paul; Puccetti, Giovanni; Rüschendorf, Ludger - In: Journal of banking & finance 37 (2013) 8, pp. 2750-2764

Persistent link: https://www.econbiz.de/10009776377

On multivariate extensions of Conditional-Tail-Expectation

Cousin, Areski; Di Bernardino, Elena - In: Insurance / Mathematics & economics 55 (2014), pp. 272-282

Persistent link: https://www.econbiz.de/10010366166

On the distribution of sums of random variables with copula-induced dependence

Gijbels, Irène; Herrmann, Klaus - In: Insurance / Mathematics & economics 59 (2014), pp. 27-44

Persistent link: https://www.econbiz.de/10010469189

On multivariate extensions of the conditional value-at-risk measure

Di Bernardino, Elena; Fernández-Ponce, J. M.; … - In: Insurance / Mathematics & economics 61 (2015), pp. 1-16

Persistent link: https://www.econbiz.de/10010515946

Portfolio credit risk modelling with heavy-tailed risk factors

Kostadinov, Krassimir Kolev (contributor) - 2006

Persistent link: https://www.econbiz.de/10003358509

Multivariate crash risk

Chabi-Yo, Fousseni; Huggenberger, Markus; Weigert, Florian - 2019 - This version: February 2019

This paper investigates whether multivariate crash risk is priced in the cross- section of expected stock returns. Motivated by a theoretical asset pricing model, we capture the multivariate crash risk of a stock by a combined measure based on its expected shortfall and its multivariate lower...

Persistent link: https://www.econbiz.de/10011993538

Momentum and crash sensitivity

Ruenzi, Stefan; Weigert, Florian - In: Economics letters 165 (2018), pp. 77-81

Persistent link: https://www.econbiz.de/10011973844

Multiple risk factor dependence structures : distributional properties

Su, Jianxi; Furman, Edward - In: Insurance / Mathematics & economics 76 (2017), pp. 56-68

Persistent link: https://www.econbiz.de/10011774770