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Measuring the risk of a non-linear portfolio with fat-tailed risk factors through a probability conserving transformation

Date, Paresh; Bustreo, Roberto - In: IMA journal of management mathematics 27 (2016) 2, pp. 157-180

Persistent link: https://www.econbiz.de/10011567011

Conditional extremes in asymmetric financial markets

Nolde, Natalia; Zhang, Jinyuan - In: Journal of business & economic statistics : JBES ; a … 38 (2020) 1, pp. 201-213

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Focussed selection of the claim severity distribution

Wang, Yinzhi; Hobæk Haff, Ingrid - In: Scandinavian actuarial journal 2019 (2019) 2, pp. 129-142

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On additivity of tail comonotonic risks

Cheung, Ka Chun; Ling, Hok Kan; Tang, Qihe; Yam, Sheung … - In: Scandinavian actuarial journal 2019 (2019) 10, pp. 837-866

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Ruin probabilities in multivariate risk models with periodic common shock

Cojocaru, Ionica - In: Scandinavian actuarial journal (2017) 2, pp. 159-174

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Aggregation of randomly weighted large risks

Asimit, Alexandru V.; Hashorva, Enkelejd; Kortschak, Dominik - In: IMA journal of management mathematics 28 (2017) 3, pp. 403-419

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Multiple risk factor dependence structures : distributional properties

Su, Jianxi; Furman, Edward - In: Insurance / Mathematics & economics 76 (2017), pp. 56-68

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Stress testing and systemic risk measures using elliptical conditional multivariate probabilities

Aste, Tomaso - In: Journal of risk and financial management : JRFM 14 (2021) 5, pp. 1-17

Systemic risk, in a complex system with several interrelated variables, such as a financial market, is quantifiable … distribution function can provide a full quantification of risk and stress propagation in the system. However, multivariate … distributions, discussing their estimation from data and proposing novel measures for stress impact and systemic risk in systems …

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Risk measures based on multivariate skew normal and skew f-mixture models

Lee, Sharon X.; McLachlan, Geoffrey J. - In: Asymmetric dependence in finance : diversification, …, (pp. 152-168). 2018

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Analytical expressions of risk quantities for composite models

Sarabia Alzaga, José Maria; Calderín-Ojeda, Enrique - In: The journal of risk model validation 12 (2018) 3, pp. 75-101

Persistent link: https://www.econbiz.de/10011991971