A vine copula approach to measure portfolio credit risk

MaRDI QIDQ5166012zbMATH OpenFDO

Authors Zhenpeng Tang, Youpo Huang

Publication date 30 June 2014

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)

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Cited in

(7)

• Risk management with high-dimensional vine copulas: an analysis of the Euro Stoxx 50
• scientific article; zbMATH DE number 7387530 (Why is no real title available?)
• Smooth nonparametric Bernstein vine copulas
• scientific article; zbMATH DE number 7246952 (Why is no real title available?)
• Catastrophe risk conditional VaR forecasts based on vine copula method
• Portfolio quantile forecasts based on vine copula and realized GARCH
• scientific article; zbMATH DE number 7234436 (Why is no real title available?)

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