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Application of copula-GARCH to estimate VaR of a portfolio with credit default swaps

Huang, Jhe-Jheng; So, Leh-Chyan - In: Journal of mathematical finance 8 (2018) 2, pp. 382-407

Persistent link: https://www.econbiz.de/10011874816

Multivariate dependence analysis via tree copula models : an application to one-year forward energy contracts

Bassetti, Federico; De Giuli, Maria Elena; Nicolino, Enrica - In: European journal of operational research : EJOR 269 (2018) 3, pp. 1107-1121

Persistent link: https://www.econbiz.de/10011866878

Uncovering the mesoscale structure of the credit default swap market to improve portfolio risk modelling

Anagnostou, I.; Squartini, T.; Kandhai, D.; Garlaschelli, D. - In: Quantitative finance 21 (2021) 9, pp. 1501-1518

Persistent link: https://www.econbiz.de/10012624151

Bayesian inference for latent factor copulas and application to financial risk forecasting

Schamberger, Benedikt; Gruber, Lutz F.; Czado, Claudia - In: Econometrics : open access journal 5 (2017) 2, pp. 1-23

posterior simulation: Gibbs sampling enables application to Bayesian problems, while ARMS is an adaptive strategy that replaces … traditional Metropolis-Hastings updates, which typically require careful tuning. Our simulation study shows favorable performance …

Persistent link: https://www.econbiz.de/10011654443

Study of correlation impact on credit default swap margin using a GARCH-DCC-copula framework

Li, David; Cheruvelil, Roy M. - In: The journal of financial market infrastructures 8 (2019) 1, pp. 51-92

Persistent link: https://www.econbiz.de/10012373185

Liquidity tail risk and credit default swap spreads

Irresberger, Felix; Weiß, Gregor; Gabrysch, Janet; … - In: European journal of operational research : EJOR 269 (2018) 3, pp. 1137-1153

Persistent link: https://www.econbiz.de/10011866884

Hedging downside risk of oil refineries : a vine copula approach

Sukcharoen, Kunlapath; Leatham, David J. - In: Energy economics 66 (2017), pp. 493-507

Persistent link: https://www.econbiz.de/10011896556

Insurance risk capital and risk aggregation : bivariate copula approach

Mejdoub, Hanène; Arab, Mounira Ben - In: International journal of computational economics and … 9 (2019) 3, pp. 202-218

Persistent link: https://www.econbiz.de/10012115324

High dimensional dynamic stochastic copula models

Creal, Drew; Tsay, Ruey S. - In: Journal of econometrics 189 (2015) 2, pp. 335-345

Persistent link: https://www.econbiz.de/10011504544

The determinants of CDS spreads : evidence from the model space

Pelster, Matthias; Vilsmeier, Johannes - 2016

We apply Bayesian Model Averaging and a frequentistic model space analysis to assess the pricing-determinants of credit default swaps (CDS). Our study focuses on the complete model space of plausible models covering most of the variables and specifications used elsewhere in the literature,...

Persistent link: https://www.econbiz.de/10011561899

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