The world financial crisis of 2008-2009 has shown that the existence of systemically important financial institutions (SIFIs) poses serious policy challenges to both developed and developing economies’ authorities. As for now there are different approaches to identifying SIFIs focused on...

The paper is aimed at making comparative analysis of main market risk features based on the copula-modeling and on the traditional approach which neglects the asymmetry and the fat tails of interest rates joint multivariate distribution. R software is used for practical implementation of the...

The article deals with the issue of copula use in the program of market risk hedging. Copula-models performance is compared to the OLS-based ones. Fully parametric and semi-parametric approaches to copula-modeling are investigated. The copula-based models efficiency is illustrated by the fact of...

Paper is devoted to comparison of various copula models application to investment portfolio risk measurement. Elliptical, Archimedean and hierarchical copulas are considered in the research. The analysis undertaken has shown that hierarchical Clayton model enables to evaluate investment...