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A general approach to integrated risk management with skewed, fat-tailed risks

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Cited by:

  1. Fernandez, Viviana, 2008. "Copula-based measures of dependence structure in assets returns," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(14), pages 3615-3628.
  2. L. Ingber, 2006. "Statistical mechanics of neocortical interactions: Portfolio of physiological indicators," Lester Ingber Papers 06pp, Lester Ingber.
  3. Koziol, Philipp & Schell, Carmen & Eckhardt, Meik, 2015. "Credit risk stress testing and copulas: Is the Gaussian copula better than its reputation?," Discussion Papers 46/2015, Deutsche Bundesbank.
  4. Hasan, Iftekhar & Siddique, Akhtar & Sun, Xian, 2015. "Monitoring the “invisible” hand of market discipline: Capital adequacy revisited," Journal of Banking & Finance, Elsevier, vol. 50(C), pages 475-492.
  5. Mark Carey & René M. Stulz, 2007. "The Risks of Financial Institutions," NBER Books, National Bureau of Economic Research, Inc, number care06-1, August.
  6. Xingnan Jiang, 2018. "Operational risk and its impact on North American and British banks," Applied Economics, Taylor & Francis Journals, vol. 50(8), pages 920-933, February.
  7. Bertram, Philip & Sibbertsen, Philipp & Stahl, Gerhard, 2011. "About the Impact of Model Risk on Capital Reserves: A Quantitative Analysis," Hannover Economic Papers (HEP) dp-469, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
  8. Jiménez, Gabriel & Mencía, Javier, 2009. "Modelling the distribution of credit losses with observable and latent factors," Journal of Empirical Finance, Elsevier, vol. 16(2), pages 235-253, March.
  9. Marcel Wollschlager & Rudi Schafer, 2015. "Impact of non-stationarity on estimating and modeling empirical copulas of daily stock returns," Papers 1506.08054, arXiv.org.
  10. Barakat, Ahmed & Chernobai, Anna & Wahrenburg, Mark, 2014. "Information asymmetry around operational risk announcements," Journal of Banking & Finance, Elsevier, vol. 48(C), pages 152-179.
  11. Rongda Chen & Ze Wang & Lean Yu, 2017. "Importance Sampling for Credit Portfolio Risk with Risk Factors Having t-Copula," International Journal of Information Technology & Decision Making (IJITDM), World Scientific Publishing Co. Pte. Ltd., vol. 16(04), pages 1101-1124, July.
  12. Bartram, Söhnke M. & Wang, Yaw-Huei, 2015. "European financial market dependence: An industry analysis," Journal of Banking & Finance, Elsevier, vol. 59(C), pages 146-163.
  13. Lee, Yongwoong & Yang, Kisung, 2019. "Modeling diversification and spillovers of loan portfolios' losses by LHP approximation and copula," International Review of Financial Analysis, Elsevier, vol. 66(C).
  14. Hussain, Saiful Izzuan & Li, Steven, 2018. "The dependence structure between Chinese and other major stock markets using extreme values and copulas," International Review of Economics & Finance, Elsevier, vol. 56(C), pages 421-437.
  15. Syed Alamdar Ali Shah, 2019. "Integration Of Financial Risks With Non Financial Risks: An Exploratory Study From Pakistani Context," Copernican Journal of Finance & Accounting, Uniwersytet Mikolaja Kopernika, vol. 8(2), pages 49-65.
  16. Srivastav, Abhishek & Keasey, Kevin & Mollah, Sabur & Vallascas, Francesco, 2017. "CEO turnover in large banks: Does tail risk matter?," Journal of Accounting and Economics, Elsevier, vol. 64(1), pages 37-55.
  17. Andersen, Torben G. & Bollerslev, Tim & Christoffersen, Peter F. & Diebold, Francis X., 2013. "Financial Risk Measurement for Financial Risk Management," Handbook of the Economics of Finance, in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, volume 2, chapter 0, pages 1127-1220, Elsevier.
  18. Cathy Q. Ning & Loran Chollete, 2009. "The Dependence Structure of Macroeconomic Variables in the US," Working Papers 005, Ryerson University, Department of Economics.
  19. Rene M. Stulz, 2016. "Risk management, governance, culture, and risk taking in banks," Economic Policy Review, Federal Reserve Bank of New York, issue Aug, pages 43-60.
  20. Eling, Martin & Jung, Kwangmin, 2018. "Copula approaches for modeling cross-sectional dependence of data breach losses," Insurance: Mathematics and Economics, Elsevier, vol. 82(C), pages 167-180.
  21. Wei, Lu & Miao, Xiyuan & Jing, Haozhe & Liu, Zhidong & Xie, Zezhong, 2023. "Bank risk aggregation based on the triple perspectives of bank managers, credit raters, and financial analysts," Finance Research Letters, Elsevier, vol. 57(C).
  22. Grundke, Peter, 2010. "Top-down approaches for integrated risk management: How accurate are they?," European Journal of Operational Research, Elsevier, vol. 203(3), pages 662-672, June.
  23. Michal Vyskoèil, 2020. "Scenario Analysis Approach for Operational Risk in Insurance Companies," ACTA VSFS, University of Finance and Administration, vol. 14(2), pages 153-165.
  24. Helmut Elsinger & Alfred Lehar & Martin Summer, 2006. "Risk Assessment for Banking Systems," Management Science, INFORMS, vol. 52(9), pages 1301-1314, September.
  25. Huang, Hung-Hsi & Lin, Shin-Hung & Wang, Ching-Ping & Chiu, Chia-Yung, 2014. "Adjusting MV-efficient portfolio frontier bias for skewed and non-mesokurtic returns," The North American Journal of Economics and Finance, Elsevier, vol. 29(C), pages 59-83.
  26. Paulusch, Joachim & Schlütter, Sebastian, 2022. "Sensitivity-implied tail-correlation matrices," Journal of Banking & Finance, Elsevier, vol. 134(C).
  27. Chollete, Loran & Pena, Victor de la & Lu, Ching-Chih, 2009. "International Diversification: A Copula Approach," UiS Working Papers in Economics and Finance 2009/27, University of Stavanger.
  28. Dias, Alexandra & Embrechts, Paul, 2010. "Modeling exchange rate dependence dynamics at different time horizons," Journal of International Money and Finance, Elsevier, vol. 29(8), pages 1687-1705, December.
  29. Constantin ANGHELACHE & Marius POPOVICI, 2017. "Financial market analysis models," Romanian Statistical Review Supplement, Romanian Statistical Review, vol. 65(6), pages 174-183, June.
  30. Leonidas Tsiaras, 2010. "Dynamic Models of Exchange Rate Dependence Using Option Prices and Historical Returns," CREATES Research Papers 2010-35, Department of Economics and Business Economics, Aarhus University.
  31. Chernobai, Anna & Ozdagli, Ali & Wang, Jianlin, 2021. "Business complexity and risk management: Evidence from operational risk events in U.S. bank holding companies," Journal of Monetary Economics, Elsevier, vol. 117(C), pages 418-440.
  32. Bellini, Tiziano, 2013. "Integrated bank risk modeling: A bottom-up statistical framework," European Journal of Operational Research, Elsevier, vol. 230(2), pages 385-398.
  33. Thomas Conlon & Xing Huan & Steven Ongena, 2020. "Operational Risk Capital," Swiss Finance Institute Research Paper Series 20-55, Swiss Finance Institute.
  34. Hayette Gatfaoui, 2010. "Investigating the dependence structure between credit default swap spreads and the U.S. financial market," Annals of Finance, Springer, vol. 6(4), pages 511-535, October.
  35. L. Ingber, 2020. "Forecasting with importance-sampling and path-integrals: Applications to COVID-19," Lester Ingber Papers 20fi, Lester Ingber.
  36. Liu, Qingfu & An, Yunbi, 2014. "Risk contributions of trading and non-trading hours: Evidence from Chinese commodity futures markets," Pacific-Basin Finance Journal, Elsevier, vol. 30(C), pages 17-29.
  37. Stulz, Rene M., 2014. "Governance, Risk Management, and Risk-Taking in Banks," Working Paper Series 2014-10, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
  38. Rivera-Castro, Miguel A. & Ugolini, Andrea & Arismendi Zambrano, Juan, 2018. "Tail systemic risk and contagion: Evidence from the Brazilian and Latin America banking network," Emerging Markets Review, Elsevier, vol. 35(C), pages 164-189.
  39. Polanski, Arnold & Stoja, Evarist, 2014. "Co-dependence of extreme events in high frequency FX returns," Journal of International Money and Finance, Elsevier, vol. 44(C), pages 164-178.
  40. Szybisz, Martin Andres, 2019. "Interactions between Credit and Market Risk, Diversification vs Compounding effects," MPRA Paper 93173, University Library of Munich, Germany.
  41. Toshinao Yoshiba, 2015. "Risk Aggregation with Copula for Banking Industry," IMES Discussion Paper Series 15-E-01, Institute for Monetary and Economic Studies, Bank of Japan.
  42. Chen, Zilin & Guo, Li & Tu, Jun, 2021. "Media connection and return comovement," Journal of Economic Dynamics and Control, Elsevier, vol. 130(C).
  43. Fantazzini , Dean, 2009. "Econometric Analysis of Financial Data in Risk Management," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 14(2), pages 100-127.
  44. Breuer, Thomas & Jandacka, Martin & Rheinberger, Klaus & Summer, Martin, 2008. "Regulatory capital for market and credit risk interaction: is current regulation always conservative?," Discussion Paper Series 2: Banking and Financial Studies 2008,14, Deutsche Bundesbank.
  45. Laurent Devineau & Stéphane Loisel, 2009. "Risk aggregation in Solvency II: How to converge the approaches of the internal models and those of the standard formula?," Post-Print hal-00403662, HAL.
  46. Chollete, Loran & Ning, Cathy, 2012. "Asymmetric Dependence in the US Economy: Application to Money and the Phillips Curve," UiS Working Papers in Economics and Finance 2012/1, University of Stavanger.
  47. Krahnen, Jan-Pieter & Wilde, Christian, 2006. "Risk Transfer with CDOs and Systemic Risk in Banking," CEPR Discussion Papers 5618, C.E.P.R. Discussion Papers.
  48. Raquel BARREIRA & Tristan PRYER & Qi TANG, 2009. "A Practical Approach To Model Banking Risks Using Loss Distribution Approach (Lda) In Basel Ii Framework," Journal of Applied Economic Sciences, Spiru Haret University, Faculty of Financial Management and Accounting Craiova, vol. 4(4(10)_Win), pages 483-493.
  49. Paul Embrechts & Giovanni Puccetti, 2006. "Aggregating risk capital, with an application to operational risk," The Geneva Papers on Risk and Insurance Theory, Springer;International Association for the Study of Insurance Economics (The Geneva Association), vol. 31(2), pages 71-90, December.
  50. Wei, Lu & Li, Guowen & Li, Jianping & Zhu, Xiaoqian, 2019. "Bank risk aggregation with forward-looking textual risk disclosures," The North American Journal of Economics and Finance, Elsevier, vol. 50(C).
  51. Chateau, John-Peter D., 2009. "Marking-to-model credit and operational risks of loan commitments: A Basel-2 advanced internal ratings-based approach," International Review of Financial Analysis, Elsevier, vol. 18(5), pages 260-270, December.
  52. Patton, Andrew J., 2012. "A review of copula models for economic time series," Journal of Multivariate Analysis, Elsevier, vol. 110(C), pages 4-18.
  53. Lidiia Karpenko & Iryna Chunytska & Nataliia Oliinyk & Nataliia Poprozman & Olha Bezkorovaina, 2020. "Consideration of Risk Factors in Corporate Property Portfolio Management," JRFM, MDPI, vol. 13(12), pages 1-14, November.
  54. Noureddine Benlagha, 2014. "Dependence structure between nominal and index-linked bond returns: a bivariate copula and DCC-GARCH approach," Applied Economics, Taylor & Francis Journals, vol. 46(31), pages 3849-3860, November.
  55. Grundke, Peter & Polle, Simone, 2012. "Crisis and risk dependencies," European Journal of Operational Research, Elsevier, vol. 223(2), pages 518-528.
  56. Juwon Seo, 2018. "Randomization Tests for Equality in Dependence Structure," Papers 1811.02105, arXiv.org.
  57. Hemei Li & Zhenya Liu & Shixuan Wang, 2022. "Vines climbing higher: Risk management for commodity futures markets using a regular vine copula approach," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(2), pages 2438-2457, April.
  58. Chernobai, Anna & Yildirim, Yildiray, 2008. "The dynamics of operational loss clustering," Journal of Banking & Finance, Elsevier, vol. 32(12), pages 2655-2666, December.
  59. Scheicher, Martin & Raunig, Burkhard, 2008. "A value at risk analysis of cedit default swaps," Working Paper Series 968, European Central Bank.
  60. Božović, Miloš & Ivanović, Jelena, 2017. "Adverse risk interaction: An integrated approach," Economic Modelling, Elsevier, vol. 65(C), pages 67-74.
  61. Breuer, Thomas & Jandacka, Martin & Rheinberger, Klaus & Summer, Martin, 2010. "Does adding up of economic capital for market- and credit risk amount to conservative risk assessment?," Journal of Banking & Finance, Elsevier, vol. 34(4), pages 703-712, April.
  62. Jianping Li & Lu Wei & Cheng-Few Lee & Xiaoqian Zhu & Dengsheng Wu, 2018. "Financial statements based bank risk aggregation," Review of Quantitative Finance and Accounting, Springer, vol. 50(3), pages 673-694, April.
  63. Adhikari, Ramesh & Putnam, Kyle J., 2020. "Comovement in the commodity futures markets: An analysis of the energy, grains, and livestock sectors," Journal of Commodity Markets, Elsevier, vol. 18(C).
  64. Jianping Li & Xiaoqian Zhu & Cheng-Few Lee & Dengsheng Wu & Jichuang Feng & Yong Shi, 2015. "On the aggregation of credit, market and operational risks," Review of Quantitative Finance and Accounting, Springer, vol. 44(1), pages 161-189, January.
  65. Desislava Chetalova & Marcel Wollschlager & Rudi Schafer, 2015. "Dependence structure of market states," Papers 1503.09004, arXiv.org, revised Jul 2015.
  66. Chollete, Lorán & de la Peña, Victor & Lu, Ching-Chih, 2012. "International diversification: An extreme value approach," Journal of Banking & Finance, Elsevier, vol. 36(3), pages 871-885.
  67. Haarstad, Aleksander H. & Lavrutich, Maria & Strypet, Kristian & Strøm, Eivind, 2022. "Multi-commodity price risk hedging in the Atlantic salmon farming industry," Journal of Commodity Markets, Elsevier, vol. 25(C).
  68. Shim Jeungbo & Lee Seung-Hwan, 2017. "Dependency between Risks and the Insurer’s Economic Capital: A Copula-based GARCH Model," Asia-Pacific Journal of Risk and Insurance, De Gruyter, vol. 11(1), pages 1-29, January.
  69. Paola Palmitesta & Corrado Provasi, 2005. "Aggregation of Dependent Risks Using the Koehler–Symanowski Copula Function," Computational Economics, Springer;Society for Computational Economics, vol. 25(1), pages 189-205, February.
  70. Kretzschmar, Gavin & McNeil, Alexander J. & Kirchner, Axel, 2010. "Integrated models of capital adequacy - Why banks are undercapitalised," Journal of Banking & Finance, Elsevier, vol. 34(12), pages 2838-2850, December.
  71. Yu, Lining & Voit, Eberhard O., 2006. "Construction of bivariate S-distributions with copulas," Computational Statistics & Data Analysis, Elsevier, vol. 51(3), pages 1822-1839, December.
  72. Jing Ai & Patrick L. Brockett & Tianyang Wang, 2017. "Optimal Enterprise Risk Management and Decision Making With Shared and Dependent Risks," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 84(4), pages 1127-1169, December.
  73. Francesco Paolo Natale, 2008. "Optimisation in the presence of tail-dependence and tail risk: A heuristic approach for strategic asset allocation," Journal of Asset Management, Palgrave Macmillan, vol. 8(6), pages 374-400, February.
  74. Zhu, Xiaoqian & Wei, Lu & Li, Jianping, 2021. "A two-stage general approach to aggregate multiple bank risks," Finance Research Letters, Elsevier, vol. 40(C).
  75. Mensi, Walid & Rehman, Mobeen Ur & Hammoudeh, Shawkat & Vo, Xuan Vinh, 2021. "Spillovers between natural gas, gasoline, oil, and stock markets: Evidence from MENA countries," Resources Policy, Elsevier, vol. 71(C).
  76. E. Petrova A. & Е. Петрова А., 2014. "Оценка Риска Остаточной Стоимости Секьюритизированного Пула Активов Оперативного Лизинга // A Securitized Pool Of Operating Lease Assets And Its Residual Value Risk Evaluation," Финансы: теория и практика/Finance: Theory and Practice // Finance: Theory and Practice, ФГОБУВО Финансовый университет при Правительстве Российской Федерации // Financial University under The Government of Russian Federation, issue 3, pages 127-138.
  77. Mun, Kyung-Chun, 2016. "Hedging bank market risk with futures and forwards," The Quarterly Review of Economics and Finance, Elsevier, vol. 61(C), pages 112-125.
  78. Laifu Song & Hao Ying & Wei Wang & Ning Fan & Xueming Du, 2022. "Reliability Modelling of Pipeline Failure under the Impact of Submarine Slides-Copula Method," Mathematics, MDPI, vol. 10(9), pages 1-25, April.
  79. Grundke, Peter, 2009. "Importance sampling for integrated market and credit portfolio models," European Journal of Operational Research, Elsevier, vol. 194(1), pages 206-226, April.
  80. Michael C. Munnix & Rudi Schafer, 2011. "A Copula Approach on the Dynamics of Statistical Dependencies in the US Stock Market," Papers 1102.1099, arXiv.org, revised Mar 2011.
  81. Til Schuermann & Kevin J. Stiroh, 2006. "Visible and hidden risk factors for banks," Staff Reports 252, Federal Reserve Bank of New York.
  82. Петрова Екатерина Александровна, 2014. "Оценка Риска Остаточной Стоимости Секьюритизированного Пула Активов Оперативного Лизинга," Вестник Финансового университета, CyberLeninka;Федеральное государственное образовательное бюджетное учреждение высшего профессионального образования «Финансовый университет при Правительстве Российской Федерации» (Финансовый университет), issue 3, pages 127-138.
  83. Mejdoub, Hanène & Ben Arab, Mounira, 2018. "Impact of dependence modeling of non-life insurance risks on capital requirement: D-Vine Copula approach," Research in International Business and Finance, Elsevier, vol. 45(C), pages 208-218.
  84. Andrew J. Patton, 2006. "Estimation of multivariate models for time series of possibly different lengths," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(2), pages 147-173, March.
  85. Chen, Rongda & Li, Cong & Wang, Weijin & Wang, Ze, 2014. "Empirical analysis on future-cash arbitrage risk with portfolio VaR," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 398(C), pages 210-216.
  86. Xiaoqian Zhu & Yinghui Wang & Jianping Li, 2022. "What drives reputational risk? Evidence from textual risk disclosures in financial statements," Palgrave Communications, Palgrave Macmillan, vol. 9(1), pages 1-15, December.
  87. Anna Chernobai & Ali Ozdagli & Jianlin Wang, 2016. "Business complexity and risk management: evidence from operational risk events in U. S. bank holding companies," Working Papers 16-16, Federal Reserve Bank of Boston.
  88. Chollete, Lorán & de la Peña, Victor & Lu, Ching-Chih, 2011. "International diversification: A copula approach," Journal of Banking & Finance, Elsevier, vol. 35(2), pages 403-417, February.
  89. Chen, Yi-Hsuan & Tu, Anthony H., 2013. "Estimating hedged portfolio value-at-risk using the conditional copula: An illustration of model risk," International Review of Economics & Finance, Elsevier, vol. 27(C), pages 514-528.
  90. Habib Mahama & Chen Yu Ming, 2009. "Currency options trading practices and the construction and governance of operational risk," Accounting, Auditing & Accountability Journal, Emerald Group Publishing Limited, vol. 22(4), pages 626-660, May.
  91. Leitao, Álvaro & Grzelak, Lech A. & Oosterlee, Cornelis W., 2017. "On a one time-step Monte Carlo simulation approach of the SABR model: Application to European options," Applied Mathematics and Computation, Elsevier, vol. 293(C), pages 461-479.
  92. Changqing Luo & Mengzhen Li & Zisheng Ouyang, 2016. "An empirical study on the correlation structure of credit spreads based on the dynamic and pair copula functions," China Finance Review International, Emerald Group Publishing Limited, vol. 6(3), pages 284-303, August.
  93. repec:onb:oenbwp:y::i:150:b:1 is not listed on IDEAS
  94. Romera, Rosario & Molanes, Elisa M., 2008. "Copulas in finance and insurance," DES - Working Papers. Statistics and Econometrics. WS ws086321, Universidad Carlos III de Madrid. Departamento de Estadística.
  95. Hanene MEJDOUB & Mounira BEN ARAB, 2017. "A Multivariate Analysis for Risk Capital Estimation in Insurance Industry: Vine Copulas," Asian Development Policy Review, Asian Economic and Social Society, vol. 5(2), pages 100-119, June.
  96. Arendarczyk, Marek & Kozubowski, Tomasz. J. & Panorska, Anna K., 2018. "The joint distribution of the sum and maximum of dependent Pareto risks," Journal of Multivariate Analysis, Elsevier, vol. 167(C), pages 136-156.
  97. Chollete, Loran & de la Pena , Victor & Lu, Ching-Chih, 2009. "International Diversification: An Extreme Value Approach," UiS Working Papers in Economics and Finance 2009/26, University of Stavanger.
  98. Xu, Chi & Zheng, Chunling & Wang, Donghua & Ji, Jingru & Wang, Nuan, 2019. "Double correlation model for operational risk: Evidence from Chinese commercial banks," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 516(C), pages 327-339.
  99. Penikas, Henry & Simakova, Varvara, 2009. "Interest Rate Risk Management Based on Copula-GARCH Models," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 13(1), pages 3-36.
  100. Aivazian, Sergei & Afanasiev, Mikhail & Rudenko, Victoria, 2014. "Analysis of dependence between the random components of a stochastic production function for the purpose of technical efficiency estimation," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 34(2), pages 3-18.
  101. Elisa Cavezzali & Gloria Gardenal, 2015. "Risk governance and performance of the Italian banks: an empirical analysis," Working Papers 8, Department of Management, Università Ca' Foscari Venezia.
  102. Bram Pieket Weeserik & Marco Spruit, 2018. "Improving Operational Risk Management Using Business Performance Management Technologies," Sustainability, MDPI, vol. 10(3), pages 1-20, February.
  103. Hong Qiu & Genhua Hu & Yuhong Yang & Jeffrey Zhang & Ting Zhang, 2020. "Modeling the Risk of Extreme Value Dependence in Chinese Regional Carbon Emission Markets," Sustainability, MDPI, vol. 12(19), pages 1-15, September.
  104. Münnix, Michael C. & Schäfer, Rudi, 2011. "A copula approach on the dynamics of statistical dependencies in the US stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(23), pages 4251-4259.
  105. Jeffrey E. Stambaugh & John Martinez & G. T. Lumpkin & Niyati Kataria, 2017. "How well do EO measures and entrepreneurial behavior match?," International Entrepreneurship and Management Journal, Springer, vol. 13(3), pages 717-737, September.
  106. Kusaya, Charles & O’Keefe, John P. & Ufier, Alexander B., 2023. "Bridging the gap from the current deposit insurance fund to a fund target," The Quarterly Review of Economics and Finance, Elsevier, vol. 88(C), pages 148-157.
  107. Penikas, H., 2010. "Financial Applications of Copula-Models," Journal of the New Economic Association, New Economic Association, issue 7, pages 24-44.
  108. Polanski, Arnold & Stoja, Evarist & Zhang, Ren, 2013. "Multidimensional risk and risk dependence," Journal of Banking & Finance, Elsevier, vol. 37(8), pages 3286-3294.
  109. Kristine Watson Hankins, 2011. "How Do Financial Firms Manage Risk? Unraveling the Interaction of Financial and Operational Hedging," Management Science, INFORMS, vol. 57(12), pages 2197-2212, December.
  110. Aigner, Philipp & Schlütter, Sebastian, 2023. "Enhancing gradient capital allocation with orthogonal convexity scenarios," ICIR Working Paper Series 47/23, Goethe University Frankfurt, International Center for Insurance Regulation (ICIR).
  111. Chollete, Loran & Ning, Cathy, 2010. "Asymmetric Dependence in US Financial Risk Factors?," UiS Working Papers in Economics and Finance 2011/2, University of Stavanger.
  112. Mark Carey & Rene M. Stulz, 2007. "Introduction to "The Risks of Financial Institutions"," NBER Chapters, in: The Risks of Financial Institutions, pages 1-25, National Bureau of Economic Research, Inc.
  113. Carsten Bormann & Melanie Schienle & Julia Schaumburg, 2014. "A Test for the Portion of Bivariate Dependence in Multivariate Tail Risk," Tinbergen Institute Discussion Papers 14-024/III, Tinbergen Institute, revised 23 Jun 2014.
  114. Jeffrey E. Stambaugh & John Martinez & G. T. Lumpkin & Niyati Kataria, 0. "How well do EO measures and entrepreneurial behavior match?," International Entrepreneurship and Management Journal, Springer, vol. 0, pages 1-21.
  115. Bhatti, M. Ishaq & Nguyen, Cuong C., 2012. "Diversification evidence from international equity markets using extreme values and stochastic copulas," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 22(3), pages 622-646.
  116. Alexandru Stanga, 2008. "Measuring market risk: a copula and extreme value approach," Advances in Economic and Financial Research - DOFIN Working Paper Series 13, Bucharest University of Economics, Center for Advanced Research in Finance and Banking - CARFIB.
  117. Crook, Jonathan & Moreira, Fernando, 2011. "Checking for asymmetric default dependence in a credit card portfolio: A copula approach," Journal of Empirical Finance, Elsevier, vol. 18(4), pages 728-742, September.
  118. Aurelian DIACONU & Alexandru BADIU & Doina AVRAM & Doina BUREA & Marius POPOVICI, 2017. "Operational Risk Management," Romanian Statistical Review Supplement, Romanian Statistical Review, vol. 65(5), pages 221-229, May.
  119. Breeden, Joseph L. & Parker, Robert & Steinebach, Carsten, 2012. "A through-the-cycle model for retail lending economic capital," International Journal of Forecasting, Elsevier, vol. 28(1), pages 133-138.
  120. Patton, Andrew, 2013. "Copula Methods for Forecasting Multivariate Time Series," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 2, chapter 0, pages 899-960, Elsevier.
  121. Hulusi Inanoglu & Michael Jacobs, 2009. "Models for Risk Aggregation and Sensitivity Analysis: An Application to Bank Economic Capital," JRFM, MDPI, vol. 2(1), pages 1-72, December.
  122. Chollete, Loran & Ismailescu, Iuliana & Lu, Ching-Chih, 2014. "Dependence between Extreme Events in the Real and Financial Sectors," UiS Working Papers in Economics and Finance 2014/12, University of Stavanger.
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