Systemic risk and copula models

DOI10.1007/S10100-018-0525-ZMaRDI QIDQ1787919zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

convex order relationscopularisk measuresstochastic dominance

Mathematics Subject Classification ID

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

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Cites work

• Comparison methods for stochastic models and risks
• Families of Multivariate Distributions
• scientific article; zbMATH DE number 5797591 (Why is no real title available?)
• scientific article; zbMATH DE number 3163305 (Why is no real title available?)
• Inequalities for the expectation of ?-monotone functions
• Law of large numbers and large deviations for dependent risks
• Multivariate Convex Orderings, Dependence, and Stochastic Equality
• On the distortion of a copula and its margins
• Optimal reinsurance and stop-loss order
• Sampling Archimedean copulas
• Some applications of multidimensional integration by parts
• Stochastic multi-objective optimization: a survey on non-scalarizing methods
• Stochastic orders
• Stochastic orders and risk measures: consistency and bounds
• The Existence of Probability Measures with Given Marginals

Cited in

(18)

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

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