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Risk aggregation with copula for banking industry
Yoshiba, Toshinao - 2015
Persistent link: https://www.econbiz.de/10011375924
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The joint distribution of stock returns is not elliptical
Chicheportiche, Rémy; Bouchaud, Jean-Philippe - In: International journal of theoretical and applied finance 15 (2012) 3, pp. 1-23
Persistent link: https://www.econbiz.de/10009624498
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Constructing discrete unbounded distributions with Gaussian-copula dependence and given rank correlation
Avramidis, Athanassios N. - In: INFORMS journal on computing : JOC 26 (2014) 2, pp. 269-279
Persistent link: https://www.econbiz.de/10010362443
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Operational risk modelling in insurance and banking
Vukovic, Ognjen - In: Inventi impact: microfinance & banking (2016) 3, pp. 172-184
Persistent link: https://www.econbiz.de/10011567927
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Modeling dependencies in finance using copulae
Härdle, Wolfgang (contributor); Okhrin, Ostap (contributor) - 2008
In this paper we provide a review of copula theory with applications to finance. We illustrate the idea on the …
Persistent link: https://www.econbiz.de/10003727552
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Locally optimal tests of independence for Archimedean copula families
Rahnenführer, Jörg - In: Statistical inference, econometric analysis and matrix …, (pp. 103-112). 2009
Persistent link: https://www.econbiz.de/10003780940
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Portfolio credit risk modelling with heavy-tailed risk factors
Kostadinov, Krassimir Kolev (contributor) - 2006
Persistent link: https://www.econbiz.de/10003358509
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Tail dependency in operational risk models
Sheikh, Ahraz; Gavin, John - In: Operational risk : practical approaches to implementation, (pp. 13-21). 2005
Persistent link: https://www.econbiz.de/10003285523
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A method of moments estimator of tail dependence in elliptical copula models
Krajina, Andrea - 2009
Persistent link: https://www.econbiz.de/10003865602