Measurement of aggregate risk with copulas

DOI10.1111/j.1368-423X.2005.00173.xzbMath1125.91351MaRDI QIDQ3367416

Markus Junker, Angelika May

Publication date: 24 January 2006

Published in: The Econometrics Journal (Search for Journal in Brave)

Mathematics Subject Classification ID

Related Items (26)

Copula-based grouped risk aggregation under mixed operation. ⋮ Estimation and model selection of semiparametric copula-based multivariate dynamic models under copula misspecification ⋮ Measuring the coupled risks: A copula-based CVaR model ⋮ Constructing generalized FGM copulas by means of certain univariate distributions ⋮ Extremes of asymptotically spherical and elliptical random vectors ⋮ Dependence patterns associated with the fundamental diagram: a copula function approach ⋮ Fragility index of block tailed vectors ⋮ Jackknife empirical likelihood method for copulas ⋮ Copula density estimation by total variation penalized likelihood with linear equality constraints ⋮ On tail dependence: a characterization for first-order max-autoregressive processes ⋮ On Generators in Archimedean Copulas ⋮ Pseudo-likelihood ratio tests for semiparametric multivariate copula model selection ⋮ Estimating the error distribution in multivariate heteroscedastic time-series models ⋮ Empirical likelihood based confidence intervals for copulas ⋮ On the structure and estimation of hierarchical Archimedean copulas ⋮ The effects of misspecified marginals and copulas on computing the value at risk: a Monte Carlo study ⋮ Additive generators of copulas ⋮ Crisis and risk dependencies ⋮ Dependence of Stock Returns in Bull and Bear Markets ⋮ Goodness-of-fit tests for copulas: A review and a power study ⋮ Copula parameter estimation by maximum-likelihood and minimum-distance estimators: a simulation study ⋮ GENERAL CHARACTERIZATION OF SOME STATISTICAL TOOLS FOR MEASURING ASYMPTOTIC DEPENDENCE ⋮ A goodness of fit test for copulas based on Rosenblatt's transformation ⋮ Fitting High-Dimensional Copulae to Data ⋮ Generalized information matrix tests for copulas ⋮ Decision-making from a risk assessment perspective for corporate mergers and acquisitions

Cites Work

• On the simultaneous associativity of F(x,y) and x+y-F(x,y)
• Fitting bivariate loss distributions with copulas
• Estimating the tail-dependence coefficient: properties and pitfalls
• General chi-square goodness-of-fit tests with data-dependent cells
• Multivariate extremes, aggregation and dependence in elliptical distributions

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