Economic and financial risk factors, copula dependence and risk sensitivity of large multi-asset class portfolios

DOI10.1007/s10479-018-3112-8zbMath1471.91495OpenAlexW2909736466WikidataQ128631748 ScholiaQ128631748MaRDI QIDQ2288967

Catherine Bruneau, Alexis Flageollet, Zhun Peng

Publication date: 20 January 2020

Published in: Annals of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10479-018-3112-8

zbMATH Keywords

extreme risksportfolio managementrisk managementfactorsstress testingregular vine copularisk paritycomplex dependencenonlinear multibeta relationship

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Portfolio theory (91G10)

Related Items (1)

Research on two-level price-fluctuation supply chain ordering strategy problem

Uses Software

• CDVine

Cites Work

• Unnamed Item
• Pair-copula constructions of multiple dependence
• Goodness-of-fit tests for copulas: A review and a power study
• Sampling algorithms for generating joint uniform distributions using the Vine-Copula method
• Large portfolio risk management and optimal portfolio allocation with dynamic elliptical copulas
• Vines -- a new graphical model for dependent random variables.
• Conditional copula simulation for systemic risk stress testing
• Probability density decomposition for conditionally dependent random variables modeled by vines
• Risk management with high-dimensional vine copulas: An analysis of the Euro Stoxx 50
• Hierarchically nested factor model from multivariate data
• Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets
• Common risk factors in the returns on stocks and bonds

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