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Three regime bivariate normal distribution : a new estimation method for co-value-at-risk, CoVaR

Choi, Ji-Eun; Shin, Dong-wan - In: The European journal of finance 25 (2019) 18, pp. 1817-1833

Persistent link: https://www.econbiz.de/10012207151

Analyzing non-agency RMBS : a practical application of option-adjusted returns

Cooperstein, Richard L. - In: The journal of structured finance 18 (2012) 2, pp. 27-32

Persistent link: https://www.econbiz.de/10009583727

Comparing some alternative Lévy base correlation models for pricing and hedging CDO tranches

Masol, Viktoriya; Schoutens, Wim - 2008

Persistent link: https://www.econbiz.de/10003709746

Distributional modeling of financial systemic risk and income data

Eckernkemper, Tobias - 2019

Persistent link: https://www.econbiz.de/10012021672

Correlation analysis of financial contagion : what one should know before running a test

Corsetti, Giancarlo - 2001

Persistent link: https://www.econbiz.de/10013439263

Correlation analysis of financial contagion : what one should know before running a test

Corsetti, Giancarlo; Pericoli, Marcello; Sbracia, Massimo - 2001

This paper builds a general test of contagion in financial markets based on bivariate correlation analysis - a test … that can be interpreted as an extension of the normal correlation theorem. Contagion is defined as a structural break in … contributions in the literature as special cases of our test. We show that, while the literature on correlation analysis of …

Persistent link: https://www.econbiz.de/10011609589

Correlation analysis of financial contagion : what one should know before running a test

Corsetti, Giancarlo; Pericoli, Marcello; Sbracia, Massimo - 2000

Persistent link: https://www.econbiz.de/10001580233

Pro-cyclicality of risk measurements - empirical quantification and theoretical confirmation

Bräutigam, Marcel - 2020

Persistent link: https://www.econbiz.de/10012488824

Estimating the correlation between operational risk loss categories over different time horizons

Brown, Maurice L.; Ly, Cheng - In: The journal of operational risk 18 (2023) 4, pp. 1-31

Persistent link: https://www.econbiz.de/10014490177

A novel robust method for estimating the covariance matrix of financial returns with applications to risk management

Leccadito, Arturo; Staino, Alessandro; Toscano, Pietro - In: Financial innovation : FIN 10 (2024), pp. 1-28

This study introduces the dynamic Gerber model (DGC) and evaluates its performance in the prediction of Value at Risk (VaR) and Expected Shortfall (ES) compared to alternative parametric, non-parametric and semi-parametric methods for estimating the covariance matrix of returns. Based on ES...

Persistent link: https://www.econbiz.de/10015361657