A vine copula approach to measure portfolio credit risk

zbMATH Open1299.91161MaRDI QIDQ5166012FDOQ5166012

Authors: Zhenpeng Tang, Youpo Huang 

Publication date: 30 June 2014

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zbMATH Keywords

vine copulavalue at riskdependency structurebacktestingportfolio credit risk measurement

Mathematics Subject Classification ID

Characterization and structure theory for multivariate probability distributions; copulas (62H05) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Portfolio theory (91G10) Credit risk (91G40)

Cited In (7)

• Risk management with high-dimensional vine copulas: an analysis of the Euro Stoxx 50
• Title not available (Why is that?)
• Title not available (Why is that?)
• Catastrophe risk conditional VaR forecasts based on vine copula method
• Title not available (Why is that?)
• Smooth nonparametric Bernstein vine copulas
• Portfolio quantile forecasts based on vine copula and realized GARCH

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