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 …

This paper examines the marginal distributions of stocks and bonds, and a copula between the movement of stock prices … risk of an aggregated portfolio, a copula is utilized for risk aggregation, which captures various dependencies in the … median and the tail of marginal distributions, unlike a linear correlation. In this study, various types of copula, including …

elaborate how our model naturally leads to a Gaussian copula approach for describing dependence between both risk types. In … particular, we suggest estimators for the correlation parameter of the Gaussian copula that can be used for general credit …

elaborate how our model naturally leads to a Gaussian copula approach for describing dependence between both risk types. In … particular, we suggest estimators for the correlation parameter of the Gaussian copula that can be used for general credit …

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 …

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 …