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Risk implications of dependence in the commodities : a copula-based analysis
Jain, Prachi; Maitra, Debasish - In: Global finance journal 57 (2023), pp. 1-22
Persistent link: https://www.econbiz.de/10014479135
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Modelling the downside risk potential of mutual fund returns
Kumaran, Sunitha - In: Cogent economics & finance 10 (2022) 1, pp. 1-32
widely applied to construct a portfolio and evaluate performance in terms of the investors’ loss aversion. Value-at-risk (VaR …) has emerged as an industry standard to analyze the market downside risk potential. The approaches used to measure VaR vary …, GARCH (1,1)) both have been used to estimate the VaR of mutual funds in the Saudi Stock Exchange between June 2017 and June …
Persistent link: https://www.econbiz.de/10013462061
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The multivariate option iPoD framework: Assessing systemic financial risk
Matros, Philipp; Vilsmeier, Johannes - 2013
We derive multivariate risk neutral asset distributions for major US financial institutions (FIs) using option implied marginal risk neutral asset distributions (RNDs) and probabilities of default (PoDs). The multivariate densities are estimated by combining the entropy approach, dynamic copulas...
Persistent link: https://www.econbiz.de/10010378295
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The multivariate option iPoD framework : assessing systemic financial risk
Matros, Philipp; Vilsmeier, Johannes - 2013
We derive multivariate risk neutral asset distributions for major US financial institutions (FIs) using option implied marginal risk neutral asset distributions (RNDs) and probabilities of default (PoDs). The multivariate densities are estimated by combining the entropy approach, dynamic copulas...
Persistent link: https://www.econbiz.de/10010193341
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The Multivariate Option iPoD Framework - Assessing Systemic Financial Risk
Matros, Philipp; Vilsmeier, Johannes - Wirtschafts- und Sozialwissenschaftliche Fakultät, … - 2013
We derive multivariate risk neutral asset distributions for major US nancial institutions (FIs) using option implied marginal risk neutral asset distributions (RNDs) and probabili- ties of default (PoDs). The multivariate densities are estimated by combining the entropy approach, dynamic copulas...
Persistent link: https://www.econbiz.de/10010904385
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CDO Pricing with Copulae
Choros, Barbara; Härdle, Wolfgang; Okhrin, Ostap - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2009
Modeling the portfolio credit risk is one of the crucial issues of the last years in the financial problems. We propose …
Persistent link: https://www.econbiz.de/10005207938
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Of Butterflies and Caterpillars: Bivariate Normality in the Sample Selection Model
Pigini, Claudia - Dipartimento di Scienze Economiche e Sociali, Facoltà … - 2012
Since the seminal paper by Heckman (1974), the sample selection model has been an essential tool for applied economists and arguably the most sensitive to sources of misspecification among the standard microeconometric models involving limited dependent variables. The need for alternative...
Persistent link: https://www.econbiz.de/10010610106
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CDO pricing with copulae
Choroś, Barbara; Härdle, Wolfgang Karl; Okhrin, Ostap - 2009
Modeling the portfolio credit risk is one of the crucial issues of the last years in the financial problems. We propose …
Persistent link: https://www.econbiz.de/10010274153
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On the structure of financial contagion: Econometric tests and Mercosur evidence
Viale, Ariel M.; Bessler, David A.; Kolari, James W. - In: Journal of Applied Economics XVII (2014) November, pp. 373-400
We introduce a flexible copula-based semi-parametric test of financial contagion that is capable of capturing structural shifts in the transmission channel of shocks across a network of financial markets beyond the increase in the intensity of time-varying dependence. We illustrate the...
Persistent link: https://www.econbiz.de/10011102935
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Hedging strategies in energy markets : the case of electricity retailers
Boroumand, Raphaël Homayoun; Goutte, Stéphane; … - In: Energy economics 51 (2015), pp. 503-509
Persistent link: https://www.econbiz.de/10011564922