Simultaneously Capturing Multiple Dependence Features in Bank Risk Integration: A Mixture Copula Framework

DOI10.1142/9789811202391_0038zbMath1454.91334OpenAlexW3081253886MaRDI QIDQ5139446

Dengsheng Wu, Xiaoqian Zhu, Jian-ping Li

Publication date: 9 December 2020

Published in: Handbook of Financial Econometrics, Mathematics, Statistics, and Machine Learning (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/9789811202391_0038

zbMATH Keywords

credit riskmarket riskrisk managementtail dependencerisk dependenceoperational riskrisk integrationvariance-covariance approachbank riskmixture copulaBasel committee on banking supervisionsimple summation approach

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Credit risk (91G40)

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