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Risk measurement and risk modelling using applications of vine copulas

Allen, David E.; McAleer, Michael; Singh, Abhay K. - 2014

This paper features an application of Regular Vine copulas which are a novel and recently developed statistical and mathematical tool which can be applied in the assessment of composite financial risk. Copula-based dependence modelling is a popular tool in financial applications, but is usually...

Persistent link: https://www.econbiz.de/10010349457

The uncertainty of systemic risk

Ilin, Thomas; Varga, Liz - In: Risk management : a journal of risk, crisis and disaster 17 (2015) 4, pp. 240-275

Persistent link: https://www.econbiz.de/10011439474

The effect of leverage on the magnitude of risk : can financial market black swan events, 10 sigma events and fat tails be explained by leverage?

Fox, David; Lim, JiEun; Wee, Claudia - In: Economics & finance notes 4 (2015) 1/2, pp. 45-54

Persistent link: https://www.econbiz.de/10011444068

Systemic risk and asymmetric responses in the financial industry

López-Espinosa, Germán; Moreno, Antonio; Rubia, Antonio; … - In: Journal of banking & finance 58 (2015), pp. 471-485

Persistent link: https://www.econbiz.de/10011544046

Nonparametric factor analytic risk measurement in common stocks in financial firms : evidence from Korean firms

Baek, Seungho; Cursio, Joseph D.; Cha, Seung Y. - In: Asia-Pacific journal of financial studies 44 (2015) 4, pp. 497-536

Persistent link: https://www.econbiz.de/10011470947

A vine-copula conditional value-at-risk approach to systemic sovereign debt risk for the financial sector

Reboredo, Juan Carlos; Ugolini, Andrea - In: The North American journal of economics and finance : a … 32 (2015), pp. 98-123

Persistent link: https://www.econbiz.de/10011514449

Portfolio optimization for heavy-tailed assets : Extreme Risk Index vs. Markowitz

Mainik, Georg; Mitov, Georgi; Rüschendorf, Ludger - In: Journal of empirical finance 32 (2015), pp. 115-134

Persistent link: https://www.econbiz.de/10011556804

Risk-adjusted performances of world equity indices

Atilgan, Yigit; Demirtas, K. Ozgur - In: Emerging markets finance & trade : a journal of the … 52 (2016) 1/3, pp. 706-721

Persistent link: https://www.econbiz.de/10011562564

Assessing the Basel II internal ratings-based approach : empirical evidence from Australia

Tarca, Silvio; Rutkowski, Marek - In: Journal of financial regulation and compliance : an … 24 (2016) 2, pp. 106-139

Persistent link: https://www.econbiz.de/10011563824

Extreme risk spillovers between crude oil and stock markets

Du, Limin; He, Yanan - In: Energy economics 51 (2015), pp. 455-465

Persistent link: https://www.econbiz.de/10011564907

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