We propose a new goodness-of-fit test for copulas, based on empirical copula processes and nonparametric bootstrap counterparts. The standard Kolmogorov-Smirnov type test for copulas that takes the supremum of the empirical copula process indexed by orthants is extended by test statistics based...

Let X1,...,Xn be a sequence of i.i.d. random variables with common distribution P on the real line. Assuming that P has a smooth density, we construct a histogram based estimator Pn,H and establish weak convergence of the empirical process under sharp conditions. If is a class of indicators of...

In this paper, we characterize explicitly the first derivative of the Value at Risk and theExpected Shortfall with respect to portfolio allocation when netting between positions exists.As a particular case, we examine a simple Gaussian example in order to illustrate theimpact of netting...