Similar Search Results

Models for Risk Aggregation and Sensitivity Analysis: An Application to Bank Economic Capital

Inanoglu, Hulusi; Jacobs, Michael - In: Journal of Risk and Financial Management 2 (2009) 1, pp. 118-189

total risk. Third, we estimate and compare alternative established frameworks for risk aggregation (including copula models … implementing a simple non-parametric methodology (empirical copula simulation- ECS) in order to quantify integrated risk, in that … relative to the standard Gaussian copula simulation (GCS), while the variance-covariance approximation (VCA) is much lower. ECS …

Persistent link: https://www.econbiz.de/10010699159

Effects of Crop Insurance Subsidies and Sodsaver on Land Use Change, The

Hennessy, David A.; Miao, Ruiqing; Feng, Hongli - Center for Agricultural and Rural Development (CARD), … - 2012

There have long been concerns that federal crop insurance subsidies may significantly impact land use decisions. It is well known that classical insurance market information asymmetry problems can lead to a social excess of risky land entering crop production. We provide a conceptual model to...

Persistent link: https://www.econbiz.de/10010633746

Operational risk: A Basel II++ step before Basel III

Guegan, Dominique; Hassani, Bertrand - HAL - 2011

Following Banking Committee on Banking Supervision, operational risk quantification is based on the Basel matrix which enables sorting incidents. In this paper, we deeply analyze these incidents and propose strategies for carrying out the supervisory guidelines proposed by the regulators. The...

Persistent link: https://www.econbiz.de/10010635043

Extreme values of random or chaotic discretization steps

Garcin, Matthieu; Guegan, Dominique - HAL - 2012

By sorting independent random variables and considering the difference between two consecutive order statistics, we get random variables, called steps or spacings, that are neither independent nor identically distributed. We characterize the probability distribution of the maximum value of these...

Persistent link: https://www.econbiz.de/10010635212

Empirical Projected Copula Process and Conditional Independence An Extended Version

Frattarolo, Lorenzo; Guegan, Dominique - HAL - 2013

Conditional dependence is expressed as a projection map in the trivariate copula space. The projected copula, its … sample counterpart and the related process are defined. The weak convergence of the projected copula process to a tight … centered Gaussian Process is obtained under weak assumptions on copula derivatives. …

Persistent link: https://www.econbiz.de/10011026052

Dynamic Models of Exchange Rate Dependence Using Option Prices and Historical Returns

Tsiaras, Leonidas - School of Economics and Management, University of Aarhus - 2010

through a copula representation of the bivariate risk-neutral density. For this purpose, we employ either the one …

Persistent link: https://www.econbiz.de/10008462030

A Dynamic Correlation Modelling Framework with Consistent Stochastic Recovery

Li, Yadong - Volkswirtschaftliche Fakultät, … - 2009

This paper describes a flexible and tractable bottom-up dynamic correlation modelling framework with a consistent stochastic recovery specification. In this modelling framework, only the joint distributions of default indicators are determined from the calibration to the index tranches; and the...

Persistent link: https://www.econbiz.de/10005668423

Pricing bivariate option under GARCH-GH model with dynamic copula : application for Chinese market.

Guégan, Dominique; Zhang, Jing - Centre d'Économie de la Sorbonne, Université Paris 1 … - 2007

is used for innovations. As the association between the underlying assets may vary over time, the dynamic copula approach …-GH model with time-varying copula differ substantially from the prices implied by the GARCH-Gaussian dynamic copula model …

Persistent link: https://www.econbiz.de/10005670883

Global and local stationary modelling in finance : theory and empirical evidence.

Guégan, Dominique - Centre d'Économie de la Sorbonne, Université Paris 1 … - 2007

In this paper we deal with the problem of non-stationarity encountered in a lot of data sets coming from existence of multiple seasonnalities, jumps, volatility, distorsion, aggregation, etc. We study the problem caused by these non stationarities on the estimation of the sample autocorrelation...

Persistent link: https://www.econbiz.de/10005670891

Multivariate measures of concordance

Taylor, M. - In: Annals of the Institute of Statistical Mathematics 59 (2007) 4, pp. 789-806

Persistent link: https://www.econbiz.de/10005760167