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Forecasting portfolio-Value-at-Risk with nonparametric lower tail dependence estimates

Siburg, Karl Friedrich; Stoimenov, Pavel; Weiß, Gregor - In: Journal of banking & finance 54 (2015), pp. 129-140

Persistent link: https://www.econbiz.de/10011377805

The use of the tail dependence function for high quantile risk measure analysis : an application to portfolio optimization

Salazar Flores, Yuri; Díaz Hernández, Adán; … - In: Applied economics 55 (2023) 37, pp. 4289-4303

Persistent link: https://www.econbiz.de/10014301231

Estimation procedures for exchangeable Marshall copulas with hydrological application

Durante, Fabrizio; Okhrin, Ostap - 2014

copulas are introduced, based on the estimation of their (univariate) generator. Moreover, the performance of the proposed …

Persistent link: https://www.econbiz.de/10010238359

Nonparametric inference for distortion risk measures on tail regions

Hou, Yanxi; Wang, Xing - In: Insurance / Mathematics & economics 89 (2019), pp. 92-110

Persistent link: https://www.econbiz.de/10012133516

Conditional systemic risk with penalized copula

Okhrin, Ostap; Ristig, Alexander; Sheen, Jeffrey R.; … - 2015

Financial contagion and systemic risk measures are commonly derived from conditional quantiles by using imposed model assumptions such as a linear parametrization. In this paper, we provide model free measures for contagion and systemic risk which are independent of the specifcation of...

Persistent link: https://www.econbiz.de/10011309638