In this paper we investigate how misspecification both in the marginals and in the copulas may affect the estimation of the Value at Risk when dealing with multivariate portfolios. We first show that, when there is skewness in the data and symmetric marginals are used, the estimated elliptical...

The management of Operational Risks has always been difficult due to the high number of variables to work with and their complex multivariate distribution. A Copula is a statistic tool which has been recently used in finance and engineering to build flexible joint distributions in order to model...

This paper proposes dynamic copula and marginals functions to model the joint distribution of risk factor returns affecting portfolios profit and loss distribution over a specified holding period. By using copulas, we can separate the marginal distributions from the dependence structure and...

The recent default of the multinational giants Enron, Parmalat and Worldcom clearly showed how accounting data can be misleading and far away from the true financial situation of a company. When financial fraud takes place, the models that use accounting data to predict default probabilities...

Genest, C., Ghoudi, K., Rivest, L.P. (1995) proposed a two-stage semi-parametric estimation procedure for a broad class of copulas satisfying minimal regularity conditions. A three-stage semi-parametric estimation method based on Kendall's tau has been recently proposed in the financial...

This paper extends the existing literature on empirical research in the field of credit risk default for Small Medium Enterprizes (SMEs). We propose a non-parametric approach based on Random Survival Forests (RSF) and we compare its performance with a standard logit model. To the authors'...

A vast literature analyzed the tobacco industry in the past: however, most of the previous studies dealt with final demand or crop production. Instead, there are only a few works which examined the whole tobacco industry in general, and the Italian and Greek ones in particular.This book aims at...

While there is increasing interest in crypto assets, the credit risk of these exchanges is still relatively unexplored. To fill this gap, we considered a unique dataset of 144 exchanges, active from the first quarter of 2018 to the first quarter of 2021. We analyzed the determinants surrounding...

While there is an increasing interest in crypto-assets, the credit risk of these exchanges is still relatively unexplored. To fill this gap, we consider a unique data set on 144 exchanges active from the first quarter of 2018 to the first quarter of 2021. We analyze the determinants of the...

This paper examines the suitability of Google Trends data for the modelling and forecasting of interregional migration in Russia. Monthly migration data, search volume data, and macro variables are used with a set of univariate and multivariate models to study the migration data of the two...