Measuring the coupled risks: A copula-based CVaR model

DOI10.1016/J.CAM.2008.03.046MaRDI QIDQ2378280zbMATH OpenOpenAlexFDO

Authors Xubiao He, Pu Gong

Publication date 7 January 2009

Published in Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.cam.2008.03.046

zbMATH Keywords

chinese security marketconditional value-at-riskcopulacoupled risksnumerical simulation

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Estimation in multivariate analysis (62H12)

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Cites work

• A framework to measure integrated risk
• Analysis of the Expected Shortfall of Aggregate Dependent Risks
• Asymmetric extreme interdependence in emerging equity markets
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Bivariate option pricing using dynamic copula models
• Common factors in conditional distributions for bivariate time series
• Conditional value at risk and related linear programming models for portfolio optimization
• Copula credibility for aggregate loss models
• Credit risk optimization with conditional Value-at-Risk criterion
• Dependence structures for multivariate high-frequency data in finance
• Estimation of copula-based semiparametric time series models
• Families of Multivariate Distributions
• Fitting bivariate loss distributions with copulas
• Generalized autoregressive conditional heteroscedasticity
• scientific article; zbMATH DE number 3163305 (Why is no real title available?)
• Integrated risk modelling
• Measurement of aggregate risk with copulas
• Modelling the Dynamic Dependence Structure in Multivariate Financial Time Series
• Static-arbitrage optimal subreplicating strategies for basket options
• The Use of Archimedean Copulas to Model Portfolio Allocations

Cited in

(12)

• A generalized error distribution copula-based method for portfolios risk assessment
• Measurement of bivariate risks by the north-south quantile points approach
• NORTA for portfolio credit risk
• A new approach to measure systemic risk: a bivariate copula model for dependent censored data
• Computation and application of copula-based weighted average quantile regression
• Coupled projects, core imputations, and the CAPM
• Neural network copula portfolio optimization for exchange traded funds
• A general approach to integrated risk management with skewed, fat-tailed risks
• scientific article; zbMATH DE number 7387531 (Why is no real title available?)
• Simultaneously capturing multiple dependence features in bank risk integration: a mixture copula framework
• scientific article; zbMATH DE number 6262816 (Why is no real title available?)
• Measuring exposure to dependence risk with random Bernstein copula scenarios

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