Add to ORKGDependence modelling and estimation is a key issue in the assessment of financial risk. It is common knowledge meanwhile that the multivariate normal model with linear correlation as its natural dependence measure is by no means an ideal model. We sugges
A central problem for regulators and risk managers concerns the risk assessment of an aggregate port...
From a banking supervisory perspective, this paper analyzes aspects of market risk of a supervisory ...
In order to analyse the entire tail dependence structure among random variables in a multidimensiona...
Dependence modelling and estimation is a key issue in the assessment of financial risk. It is common...
Dependence modelling and estimation is a key issue in the assessment of portfolio risk. When measuri...
Abstract. Most financial models for modelling dependent risks are based on the assumption of multiva...
räumlich unbeschränkte und zeitlich auf die Dauer des Schutzrechts beschränkte einfache Recht ein, d...
Understanding the relationships among multivariate assets would help one greatly about how best to p...
Abstract. Modern risk management calls for an understanding of stochastic dependence going beyond si...
Modern risk management calls for an understanding of stochastic dependence going beyond simple linea...
This article presents a general framework for identifying and modeling the joint-tail distribution b...
This article presents a general framework for identifying and modeling the joint-tail distribution b...
Abstract. Modern risk management calls for an understanding of stochastic de-pendence going beyond s...
In financial risk management it is essential to be able to model dependence in markets and portfolio...
Research projects in the area of multivariate financial time-series are of a particular interest for...
A central problem for regulators and risk managers concerns the risk assessment of an aggregate port...
From a banking supervisory perspective, this paper analyzes aspects of market risk of a supervisory ...
In order to analyse the entire tail dependence structure among random variables in a multidimensiona...
Dependence modelling and estimation is a key issue in the assessment of financial risk. It is common...
Dependence modelling and estimation is a key issue in the assessment of portfolio risk. When measuri...
Abstract. Most financial models for modelling dependent risks are based on the assumption of multiva...
räumlich unbeschränkte und zeitlich auf die Dauer des Schutzrechts beschränkte einfache Recht ein, d...
Understanding the relationships among multivariate assets would help one greatly about how best to p...
Abstract. Modern risk management calls for an understanding of stochastic dependence going beyond si...
Modern risk management calls for an understanding of stochastic dependence going beyond simple linea...
This article presents a general framework for identifying and modeling the joint-tail distribution b...
This article presents a general framework for identifying and modeling the joint-tail distribution b...
Abstract. Modern risk management calls for an understanding of stochastic de-pendence going beyond s...
In financial risk management it is essential to be able to model dependence in markets and portfolio...
Research projects in the area of multivariate financial time-series are of a particular interest for...
A central problem for regulators and risk managers concerns the risk assessment of an aggregate port...
From a banking supervisory perspective, this paper analyzes aspects of market risk of a supervisory ...
In order to analyse the entire tail dependence structure among random variables in a multidimensiona...