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A latent variable credit risk model comprising nonlinear dependencies in a sector framework with a stochastically dependent loss given default

Maciag, Jakob; Löderbusch, Matthias - In: The journal of credit risk : published quarterly by … 13 (2017) 4, pp. 37-74

Persistent link: https://www.econbiz.de/10012041612

Stability of cross-market bivariate return distributions during financial turbulence

Mudakkar, Syeda Rabab; Uppal, Jamshed Y. - In: Research in international business and finance 45 (2018), pp. 389-401

Persistent link: https://www.econbiz.de/10011983293

Determining distribution for the product of random variables by using copulas

Ly, Sel; Pho, Kim-Hung; Ly, Sal; Wong, Wing Keung - In: Risks : open access journal 7 (2019) 1/23, pp. 1-20

of product for two or more random variables. Thus, the theory developed in this paper is useful for academics …

Persistent link: https://www.econbiz.de/10012015948

Direct and hierarchical models for aggregating spatially dependent catastrophe risks

Wójcik, Rafał; Liu, Charlie Wusuo; Guin, Jayanta - In: Risks : open access journal 7 (2019) 2/54, pp. 1-22

We present several fast algorithms for computing the distribution of a sum of spatially dependent, discrete random variables to aggregate catastrophe risk. The algorithms are based on direct and hierarchical copula trees. Computing speed comes from the fact that loss aggregation at branching...

Persistent link: https://www.econbiz.de/10012019121

Conditional term structure of inflation forecast uncertainty : the copula approach

Charemza, Wojciech; Díaz, Carlos; Makarova, Svetlana D. - In: Romanian journal of economic forecasting 22 (2019) 1, pp. 5-18

Persistent link: https://www.econbiz.de/10012021948

Determining distribution for the quotients of dependent and independent random variables by using copulas

Ly, Sel; Pho, Kim-Hung; Ly, Sal; Wong, Wing Keung - In: Journal of risk and financial management : JRFM 12 (2019) 1/42, pp. 1-27

applications in Risk Management, Finance, Economics, Science, and many other areas. This paper develops the theory on both density … . Thereafter, we extend the theory by establishing the density and distribution functions for the quotients Y=X1X2 and Z=X1X1+X2 of … two dependent normal random variables X1 and X2 in the case of Gaussian copulas. We then develop the theory on the median …

Persistent link: https://www.econbiz.de/10012022301

Multivariate crash risk

Chabi-Yo, Fousseni; Huggenberger, Markus; Weigert, Florian - 2019 - This version: February 2019

This paper investigates whether multivariate crash risk is priced in the cross- section of expected stock returns. Motivated by a theoretical asset pricing model, we capture the multivariate crash risk of a stock by a combined measure based on its expected shortfall and its multivariate lower...

Persistent link: https://www.econbiz.de/10011993538

Portfolio management with tail dependence

Bergmann, Daniel Reed; Savoia, José Roberto Ferreira; … - In: Applied economics 50 (2018) 51, pp. 5510-5520

Persistent link: https://www.econbiz.de/10012062255

New evidence on asymmetric return-volume dependence and extreme movements

Wang, Yi-Chiuan; Wu, Jyh-lin; Lai, Yi-Hao - In: Journal of empirical finance 45 (2018), pp. 212-227

Persistent link: https://www.econbiz.de/10012102448

A copula sample selection model for predicting multi-year LGDs and Lifetime Expected Losses

Krüger, Steffen; Oehme, Toni; Rösch, Daniel; Scheule, … - In: Journal of empirical finance 47 (2018), pp. 246-262

Persistent link: https://www.econbiz.de/10012103459