scientific article; zbMATH DE number 2231189
From MaRDI portal
Publication:5706744
Recommendations
Cited in
(only showing first 100 items - show all)- Multivariate extremes of generalized skew-normal distributions
- Large portfolio losses: A dynamic contagion model
- Goodness-of-fit test for tail copulas modeled by elliptical copulas
- Additivity properties for value-at-risk under archimedean dependence and heavy-tailedness
- Estimating copula densities through wavelets
- On the discrete-time compound renewal risk model with dependence
- Comparison of semiparametric and parametric methods for estimating copulas
- Lévy-frailty copulas
- Bounds and approximations for sums of dependent log-elliptical random variables
- Global loss diversification in the insurance sector
- Stochastic comparisons of multivariate mixture models
- Panjer recursion versus FFT for compound distributions
- Credit portfolio risk and asset price cycles
- Nonlinear prediction in max-autoregressive processes
- A Monte Carlo-based method for the estimation of lower and upper probabilities of events using infinite random sets of indexable type
- A general approach to Bayesian portfolio optimization
- Bounds for the sum of dependent risks having overlapping marginals
- Multivariate comonotonicity
- Efficient estimation of copula-based semiparametric Markov models
- Concentration of measure and spectra of random matrices: applications to correlation matrices, elliptical distributions and beyond
- Goodness-of-fit tests for copulas: A review and a power study
- A general control variate method for option pricing under Lévy processes
- A multi-objective approach to the cash management problem
- Uncertainty quantification for the family-wise error rate in multivariate copula models
- TVICA -- time varying independent component analysis and its application to financial data
- SCOMDY models based on pair-copula constructions with application to exchange rates
- Likelihood inference for generalized Pareto distribution
- Nonstationary modelling of tail dependence of two subjects' concentration
- Data-driven robust chance constrained problems: a mixture model approach
- Optimal portfolio selection based on expected shortfall under generalized hyperbolic distribution
- Bayesian model selection of regular vine copulas
- Multiple tests for the performance of different investment strategies
- When is tail mean estimation more efficient than tail median? Answers and implications for quantitative risk management
- Uniform in bandwidth consistency of nonparametric regression based on copula representation
- Estimation risk for the VaR of portfolios driven by semi-parametric multivariate models
- Checking default correlation and score correlation in a breakpoint model for rating classification
- Impact of value-at-risk models on market stability
- Estimation of correlations in portfolio credit risk models based on noisy security prices
- Hybrid Clayton-Frank convolution-based bivariate Archimedean copula
- EM algorithm in Gaussian copula with missing data
- Managing risk with a realized copula parameter
- On the computation of multivariate scenario sets for the skew-t and generalized hyperbolic families
- Asymmetry in tail dependence in equity portfolios
- Dynamic equicorrelation stochastic volatility
- Estimating extreme tail risk measures with generalized Pareto distribution
- Multivariate models for dependent clusters of variables with conditional independence given aggregation variables
- Clustering, classification, discriminant analysis, and dimension reduction via generalized hyperbolic mixtures
- Nonlinear expectile regression with application to value-at-risk and expected shortfall estimation
- Probabilistic slope stability analysis by a copula-based sampling method
- An analysis of a heuristic procedure to evaluate tail (in)dependence
- Category-measure duality: convexity, midpoint convexity and Berz sublinearity
- Book review of: A. J. McNeil et al., Quantitative risk management. Concepts, techniques and tools. Revised ed.
- Drawdown: from practice to theory and back again
- The effects of dependent beliefs on endogenous leverage
- Modelling censored losses using splicing: a global fit strategy with mixed Erlang and extreme value distributions
- Quantitative modeling of operational risk in finance and banking using possibility theory
- Solvency II solvency capital requirement for life insurance companies based on expected shortfall
- A hybrid data cloning maximum likelihood estimator for stochastic volatility models
- Dependent risk models with Archimedean copulas: a computational strategy based on common mixtures and applications
- Tensor approximation of generalized correlated diffusions and functional copula operators
- Efficient simulations for a Bernoulli mixture model of portfolio credit risk
- Additivity, subadditivity and linearity: automatic continuity and quantifier weakening
- Rearrangement algorithm and maximum entropy
- Extreme quantiles and tail index of a distribution based on kernel estimator
- Three skewed matrix variate distributions
- Conditional distributions of multivariate normal mean-variance mixtures
- Expectation of the truncated randomly weighted sums with dominatedly varying summands
- Risk aggregation based on the Poisson INAR(1) process with periodic structure
- Quantile regression for linear models with autoregressive errors using EM algorithm
- Risk management, signal processing and econometrics: a new tool for forecasting the risk of disease outbreaks
- Estimators based on trimmed Kendall's tau in multivariate copula models
- Dynamic capital allocation with irreversible investments
- Weighted risk capital allocations in the presence of systematic risk
- On generalized log-Moyal distribution: a new heavy tailed size distribution
- Likelihood-based risk estimation for variance-gamma models
- Measure-invariance of copula functions as tool for testing no-arbitrage assumption
- Measuring the tail risk: an asymptotic approach
- On the inference about the spectral distribution of high-dimensional covariance matrix based on high-frequency noisy observations
- Robust portfolio selection problem under temperature uncertainty
- Condition-based maintenance policies for systems with multiple dependent components: a review
- A Stein type lemma for the multivariate generalized hyperbolic distribution
- Risk- and value-based management for non-life insurers under solvency constraints
- A semiparametric maximum likelihood ratio test for the change point in copula models
- Pricing and hedging of credit derivatives via the innovations approach to nonlinear filtering
- Inference in multivariate Archimedean copula models
- Exponential-uniform distribution
- Booms, busts and heavy-tails: the story of bitcoin and cryptocurrency markets?
- Flow-based formulations for operational fixed interval scheduling problems with random delays
- Extremal dependence concepts
- On Banach spaces of vector-valued random variables and their duals motivated by risk measures
- Copula-based slope reliability analysis using the failure domain defined by the \(g\)-line
- Joint cumulative distribution functions for Dempster-Shafer belief structures using copulas
- Copula approaches for modeling cross-sectional dependence of data breach losses
- Mixtures of generalized hyperbolic distributions and mixtures of skew-t distributions for model-based clustering with incomplete data
- Mixture of D-vine copulas for modeling dependence
- Tests of symmetry for bivariate copulas
- Bayesian value-at-risk and expected shortfall forecasting via the asymmetric Laplace distribution
- Modelling multi-output stochastic frontiers using copulas
- Predicting extreme value at risk: nonparametric quantile regression with refinements from extreme value theory
- Operational risks in financial sectors
This page was built for publication:
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5706744)