Economic and financial risk factors, copula dependence and risk sensitivity of large multi-asset class portfolios

DOI10.1007/S10479-018-3112-8MaRDI QIDQ2288967zbMATH OpenOpenAlexWikidataFDO

Authors Catherine Bruneau, Alexis Flageollet, Zhun Peng

Publication date 20 January 2020

Published in Annals of Operations Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10479-018-3112-8

zbMATH Keywords

stress testingrisk managementportfolio managementfactorsregular vine copularisk paritycomplex dependenceextreme risksnonlinear multibeta relationship

Mathematics Subject Classification ID

Characterization and structure theory for multivariate probability distributions; copulas (62H05) Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10)

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Cites work

• scientific article; zbMATH DE number 3163305 (Why is no real title available?)
• Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets
• Common risk factors in the returns on stocks and bonds
• Conditional copula simulation for systemic risk stress testing
• Goodness-of-fit tests for copulas: A review and a power study
• Hierarchically nested factor model from multivariate data
• Large portfolio risk management and optimal portfolio allocation with dynamic elliptical copulas
• Pair-copula constructions of multiple dependence
• Probability density decomposition for conditionally dependent random variables modeled by vines
• Risk management with high-dimensional vine copulas: an analysis of the Euro Stoxx 50
• Sampling algorithms for generating joint uniform distributions using the Vine-Copula method
• Vines -- a new graphical model for dependent random variables.

Cited in

(2)

• Research on two-level price-fluctuation supply chain ordering strategy problem
• Is CSR linked to Idiosyncratic risk? Evidence from the copula approach

Describes a project that uses

Uses Software

• CDVine

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