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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

Measuring insurers' investment risk taking with asymmetric tail dependencies

Lai, Gene C.; Lu, Erin P.; Li, Haijun; Chen, Dennis C. - In: Risk management : a journal of risk, crisis and disaster 19 (2017) 1, pp. 1-31

Persistent link: https://www.econbiz.de/10011729302

Heavy tails and copulas : limits of diversification revisited

Ibragimov, Rustam Ju.; Prokhorov, Artem - In: Economics letters 149 (2016), pp. 102-107

Persistent link: https://www.econbiz.de/10011620157

Cryptocurrencies : a copula based approach for asymmetric risk marginal allocations

Jeleskovic, Vahidin; Meloni, Mirko; Younas, Zahid Irshad - 2020

Given the increasing interest in cryptocurrencies shown by investors and researchers, and the importance of the potential loss scenarios resulting from investment/trading activities, this research provides market operators with a dynamic overview on the short-term portfolio tail risk...

Persistent link: https://www.econbiz.de/10012542685

Risk measurement of international carbon market based on multiple risk factors heterogeneous dependence

Chen, Zhang; Yang, Yu; Yun, Po - In: Finance research letters 32 (2020), pp. 1-10

Persistent link: https://www.econbiz.de/10012430683

Comparing the riskiness of dependent portfolios via nested L-statistics

Samanthi, Ranadeera G.M.; Wei, Wei; Brazauskas, Vytaras - In: Annals of actuarial science : publ. by the Institute of … 11 (2017) 2, pp. 213-236

Persistent link: https://www.econbiz.de/10011820567

Hedging downside risk of oil refineries : a vine copula approach

Sukcharoen, Kunlapath; Leatham, David J. - In: Energy economics 66 (2017), pp. 493-507

Persistent link: https://www.econbiz.de/10011896556

Portfolio optimization from a Copulas-GJR-GARCH-EVT-CVAR model : empirical evidence from ASEAN stock indexes

Sang Phu Nguyen; Toan Luu Duc Huynh - In: Quantitative finance and economics 3 (2019) 3, pp. 562-585

Persistent link: https://www.econbiz.de/10012176618

Downside risk and portfolio optimization of energy stocks : a study on the extreme value theory and the vine copula approach

Karmakar, Madhusudan; Paul, Samit - In: The energy journal 44 (2023) 2, pp. 139-179

Persistent link: https://www.econbiz.de/10014249083

Dependency modeling and value-at-risk forecasts for financial portfolios

Berger, Theo - 2013

Persistent link: https://www.econbiz.de/10013432837