The effectiveness of TARP-CPP on the US banking industry: a new copula-based approach

DOI10.1016/J.EJOR.2016.07.046MaRDI QIDQ1752290zbMATH OpenOpenAlexFDO

Authors Raffaella Calabrese, Marta Degl'Innocenti, Silvia Angela Osmetti

Publication date 24 May 2018

Published in European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL http://repository.essex.ac.uk/17353/1/1-s2.0-S0377221716306014-main.pdf

zbMATH Keywords

bankingbinary dataD-vine copula modelfailureTARP-CPP

Mathematics Subject Classification ID

Characterization and structure theory for multivariate probability distributions; copulas (62H05) Applications of statistics to actuarial sciences and financial mathematics (62P05) Corporate finance (dividends, real options, etc.) (91G50) Statistical methods; risk measures (91G70)

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Cites work

• Assessing bank efficiency and performance with operational research and artificial intelligence techniques: a survey
• Bankruptcy prediction in banks and firms via statistical and intelligent techniques -- a review
• Copula regression spline models for binary outcomes
• Copula-based regression models: a survey
• Estimation of copula models with discrete margins via Bayesian data augmentation
• Generalized extreme value regression for binary response data: an application to B2B electronic payments system adoption
• Hierarchies of Archimedean copulas
• scientific article; zbMATH DE number 1134711 (Why is no real title available?)
• Improving forecast of binary rare events data: a GAM-based approach
• Mixture of D-vine copulas for modeling dependence
• Modeling longitudinal data using a pair-copula decomposition of serial dependence
• Modelling small and medium enterprise loan defaults as rare events: the generalized extreme value regression model
• Pair copula constructions for multivariate discrete data
• Pair-copula constructions of multiple dependence
• Sampling from Archimedean copulas
• Total loss estimation using copula-based regression models
• Using copulas to model repeat purchase behaviour - an exploratory analysis via a case study
• Vines -- a new graphical model for dependent random variables.

Cited in

(7)

• Liquidity tail risk and credit default swap spreads
• News-based forecasts of macroeconomic indicators: a semantic path model for interpretable predictions
• Operational research and artificial intelligence methods in banking
• A new approach to measure systemic risk: a bivariate copula model for dependent censored data
• Statistical arbitrage with vine copulas
• Can creditor bail-in trigger contagion? The experience of an emerging market
• Vine copula modeling dependence among cyber risks: a dangerous regulatory paradox

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Uses Software

• bgeva

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