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Dokumenttyp:
Zeitungsartikel 
Autor(en):
Fischer, M., Kraus, D., Pfeuffer, M., and Czado, C. 
Titel:
Stress Testing German Industry Sectors: Results from a Vine Copula Based Quantile Regression 
Abstract:
Measuring interdependence between probabilities of default (PDs) in different industry sectors of an economy plays a crucial role in financial stress testing. Thereby, regression approaches may be employed to model the impact of stressed industry sectors as covariates on other response sectors. We identify vine copula based quantile regression as an eligible tool for conducting such stress tests as this method has good robustness properties, takes into account potential nonlinearities of conditi...    »
 
Stichworte:
stress testing; quantile regression; vine copulas; expectile regression 
Zeitschriftentitel:
Risks 
Jahr:
2017 
Band / Volume:
Jahr / Monat:
2017-07 
Quartal:
3. Quartal 
Monat:
Jul 
Heft / Issue:
Seitenangaben Beitrag:
38-50 
WWW:
_blank 
Verlag / Institution:
MDPI 
Print-ISSN:
2227-9091 
Status:
Erstveröffentlichung 
Angenommen (von Zeitschrift):
13.07.2017 
Publikationsdatum:
19.07.2017 
Publikationsdatum:
19.07.2017