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A Morse-type index for critical points of vector functions
Enrico, Miglierina; Elena, Molho; Matteo, Rocca - Facoltà di Economia, Università degli Studi dell'Insubria - 2007
Persistent link: https://www.econbiz.de/10005827399
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Model uncertainty and VaR aggregation
Embrechts, Paul; Puccetti, Giovanni; Rüschendorf, Ludger - In: Journal of banking & finance 37 (2013) 8, pp. 2750-2764
Persistent link: https://www.econbiz.de/10009776377
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A concept of copula robustness and its applications in quantitative risk management
Zähle, Henryk - In: Finance and stochastics 26 (2022) 4, pp. 825-875
Persistent link: https://www.econbiz.de/10013440253
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Model uncertainty and VaR aggregation
Embrechts, Paul; Puccetti, Giovanni; Rüschendorf, Ludger - In: Journal of Banking & Finance 37 (2013) 8, pp. 2750-2764
Despite well-known shortcomings as a risk measure, Value-at-Risk (VaR) is still the industry and regulatory standard for the calculation of risk capital in banking and insurance. This paper is concerned with the numerical estimation of the VaR for a portfolio position as a function of different...
Persistent link: https://www.econbiz.de/10011065725
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Elementary multivariate rearrangements and stochastic dominance on a Fréchet class
Decancq, Koen - In: Journal of Economic Theory 147 (2012) 4, pp. 1450-1459
A Fréchet class collects all multivariate joint distribution functions that have the same marginals. Members of a Fréchet class only differ with respect to the interdependence between their marginals. In this paper, I study orders of interdependence on a Fréchet class using two multivariate...
Persistent link: https://www.econbiz.de/10010576557
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Financial decisions based on zero-sum games : new conceptual and mathematical outcomes
Angelini, Pierpaolo - In: International Journal of Financial Studies : open … 12 (2024) 2, pp. 1-28
All the n possible returns on a financial asset are the components of an element of a linear space over R. This paper shows how to transfer all these n possible returns on a one-dimensional straight line. In this research work, two or more than two financial assets are studied. More than two...
Persistent link: https://www.econbiz.de/10014636283
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Tail-dependence in stock-return pairs
Fortin, Ines; Kuzmics, Christoph - 2002
copula. The copula used is such that it allows for the presence of lower tail-dependence and for asymmetric taildependence …, and that it encompasses the normal or t-copula. The model is estimated using bivariate data on a set of European stock …
Persistent link: https://www.econbiz.de/10010292792
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Optimal asset allocation under linear loss aversion
Fortin, Ines; Hlouskova, Jaroslava - 2010
of symmetric (Gaussian copula) or asymmetric (Clayton copula) type. Finally, using 13 EU and US assets, we implement the …
Persistent link: https://www.econbiz.de/10010293995
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The pricing of correlated default risk: evidence from the credit derivatives market
Zhu, Haibin; Tarashev, Nikola A. - 2008
In order to analyze the pricing of portfolio credit risk – as revealed by tranche spreads of a popular credit default swap (CDS) index – we extract risk-neutral probabilities of default (PDs) and physical asset return correlations from single-name CDS spreads. The time profile and overall...
Persistent link: https://www.econbiz.de/10010295946
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Estimating a bivariate density when there are extra data on one or both components
Hall, Peter; Neumeyer, Natalie - 2005
difficult in a nonparametric setting. There we suggest a copula-based solution, which has potential benefits even when the … marginal datasets X and Y are empty. For example, if the copula density is sufficiently smooth in the region where we wish to … if the marginals are close to being independent. We suggest using wavelet estimators to approximate the copula density …
Persistent link: https://www.econbiz.de/10010296689