The effectiveness of TARP-CPP on the US banking industry: a new copula-based approach

DOI10.1016/j.ejor.2016.07.046zbMath1395.91484OpenAlexW2496210498MaRDI QIDQ1752290

Raffaella Calabrese, Marta Degl'Innocenti, Silvia Angela Osmetti

Publication date: 24 May 2018

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: http://repository.essex.ac.uk/17353/1/1-s2.0-S0377221716306014-main.pdf

zbMATH Keywords

failurebankingbinary dataD-vine copula modelTARP-CPP

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Corporate finance (dividends, real options, etc.) (91G50)

Related Items (5)

Statistical arbitrage with vine copulas ⋮ Liquidity tail risk and credit default swap spreads ⋮ News-based forecasts of macroeconomic indicators: a semantic path model for interpretable predictions ⋮ A new approach to measure systemic risk: a bivariate copula model for dependent censored data ⋮ Operational research and artificial intelligence methods in banking

Uses Software

• bgeva

Cites Work

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