We study the recursive moments of aggregate discounted claims, where the dependence between the inter-claim time and … of aggregate discounted claims, i.e., its mean and variance, based on the Neumann series expression, where the dependence …

focuses on (i) assessing the dependence structure of the markets when extreme events occur, and (ii) checking the validity of … negative shocks in the value of firms' assets. The authors show that there is a large tail dependence between the two … portfolios. However, the dependence structure seems to be similar with respect to positive and negative innovations in the …

approaches require less stringent distributional hypotheses. As shown by Smith (2003), copulas allow great flexibility also in … form of the margins, since it allows separating their modelling from that of the dependence structure. In the present paper …

), CreditMetrics, KMV) still rely on Gaussian copulas. This paper complements the finance literature providing new insights into the … impact of different copulas in stress test applications using supervisory data of 17 large German banks. Our findings imply … high stress effects under extreme scenarios. Heavy-tailed copulas like the Clayton or the t copula are recommended in the …

[40]. Levy copulas allow us to separate the dependence structure from the behavior ofthe marginal components. We consider … dependence structure to multivariate optionpricing. We use the new concept of Levy copula introduced in the literature by Tankov … bivariate variance gamma and bivariate CGMYmodels. To model the dependence structure between underlying assets we use the …

frequently than large gains. The second set of stylized facts is concerned with the dependence structure among asset returns …. Recent empirical studies have cast doubts on the adequacy of the linear dependence structure implied by the multivariate …

from 2009 to 2015. Using different copulas, our results show that there is weak but significant tail dependence between … gold and Chinese sectorial stock returns. This means that the dependence between extreme movements of the two assets is not …

property. As a by-product, one also obtains the asymptotic behavior of rank-based measures of dependence applied to residuals …