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Dependence in credit default swap and equity markets : dynamic copula with Markov-switching
Fei, Fei; Fuertes, Ana María; Kalotychou, Elena - In: International journal of forecasting 33 (2017) 3, pp. 662-678
Persistent link: https://www.econbiz.de/10011746197
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Copula-MGARCH with continuous covariance decomposition
Herwartz, Helmut; Raters, Fabian H. C. - In: Economics letters 133 (2015), pp. 73-76
Persistent link: https://www.econbiz.de/10011431988
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Forecasting portfolio-Value-at-Risk with nonparametric lower tail dependence estimates
Siburg, Karl Friedrich; Stoimenov, Pavel; Weiß, Gregor - In: Journal of banking & finance 54 (2015), pp. 129-140
Persistent link: https://www.econbiz.de/10011377805
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Is Bitcoin a better portfolio diversifier than gold? : a copula and sectoral analysis for China
Pho, Kim-Hung; Ly, Sel; Lu, Richard; Hoang, Thi Hong Van; … - In: International review of financial analysis 74 (2021), pp. 1-30
Persistent link: https://www.econbiz.de/10012803931
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Dependency between risks and the insurer's economic capital : a copula-based GARCH model
Shim, Jeungbo; Lee, Seung-Hwan - In: Asia-Pacific journal of risk and insurance : APJRI 11 (2017) 1, pp. 1-29
Persistent link: https://www.econbiz.de/10011671161
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Estimating expected and unexpected losses for agricultural mortgage portfolios
Dressler, Jonathan B.; Tauer, Loren W. - In: American journal of agricultural economics 98 (2016) 5, pp. 1470-1485
Persistent link: https://www.econbiz.de/10011635556
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Asymptotic subadditivity/superadditivity of Value-at-Risk under tail dependence
Zhu, Wenhao; Li, Lujun; Yang, Jingping; Xie, Jiehua; … - In: Mathematical finance : an international journal of … 33 (2023) 4, pp. 1314-1369
Persistent link: https://www.econbiz.de/10014370668
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Essays in Financial Economics
Sobott, Jonas Karl - 2017
Persistent link: https://www.econbiz.de/10012794977
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A latent variable credit risk model comprising nonlinear dependencies in a sector framework with a stochastically dependent loss given default
Maciag, Jakob; Löderbusch, Matthias - In: The journal of credit risk : published quarterly by … 13 (2017) 4, pp. 37-74
Persistent link: https://www.econbiz.de/10012041612
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Choosing expected shortfall over VaR in Basel III using stochastic dominance
Chang, Chia-Lin; Jiménez-Martín, Juan-Ángel; … - 2015
Bank risk managers follow the Basel Committee on Banking Supervision (BCBS) recommendations that recently proposed shifting the quantitative risk metrics system from Value-at-Risk (VaR) to Expected Shortfall (ES). The Basel Committee on Banking Supervision (2013, p. 3) noted that: "a number of...
Persistent link: https://www.econbiz.de/10011431395