Systemic risk and copula models

DOI10.1007/S10100-018-0525-ZzbMATH Open1397.91609OpenAlexW2785840877MaRDI QIDQ1787919FDOQ1787919

Authors: Georg Ch. Pflug, Alois Pichler 

Publication date: 5 October 2018

Published in: CEJOR. Central European Journal of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10100-018-0525-z

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zbMATH Keywords

copulastochastic dominancerisk measuresconvex order relations

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Inequalities; stochastic orderings (60E15) Deterministic network models in operations research (90B10)

Cites Work

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• The Existence of Probability Measures with Given Marginals
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• Multivariate Convex Orderings, Dependence, and Stochastic Equality
• Optimal reinsurance and stop-loss order
• Some applications of multidimensional integration by parts
• On the distortion of a copula and its margins
• Sampling Archimedean copulas
• Inequalities for the expectation of ?-monotone functions
• Law of large numbers and large deviations for dependent risks

Cited In (18)

• Multi-feature evaluation of financial contagion
• An optimization model for minimizing systemic risk
• Emerging and innovative OR applications: a special issue in honor of Walter J. Gutjahr
• Foreword
• Conditional copula simulation for systemic risk stress testing
• Insights to systematic risk and diversification across a joint probability distribution
• The varying spillover of U.S. systemic risk: a functional-coefficient cointegration approach
• Systemic risk assessment through high order clustering coefficient
• Systemic risk: an asymptotic evaluation
• Large scale extreme risk assessment using copulas: an application to drought events under climate change for Austria
• Stochastic orders and distortion risk contribution ratio measures
• Modelling cascading effects for systemic risk: properties of the Freund copula
• Systemic risk: conditional distortion risk measures
• A new approach to measure systemic risk: a bivariate copula model for dependent censored data
• Preface to the Special Issue on Systemic Risk: Models and Mechanisms
• Multivariate Shortfall Risk Allocation and Systemic Risk
• On risk evaluation and control of distributed multi-agent systems
• Multivariate dependence among cyber risks based on \(L\)-hop propagation

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