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Dokumenttyp:
Zeitschriftenaufsatz 
Autor(en):
Brechmann, E.C., Hendrich, K., and Czado, C. 
Titel:
Conditional copula simulation for systemic risk stress testing 
Abstract:
Since the financial crisis of 2007-2009 there is an active debate of regulators and academic researchers on systemic risk, with the aim of preventing similar crises in the future or at least reducing their impact. A major determinant of systemic risk is the interconnectedness of the international financial market. We propose to analyze interdependencies in the financial market using copulas, in particular using exible vine copulas, which overcome limitations of the popular elliptical and Arch...    »
 
Stichworte:
multivariate copula, sampling, vine copula, systemic risk, stress testing, CDS spreads 
Zeitschriftentitel:
Insurance: Mathematics and Economics 
Jahr:
2013 
Band / Volume:
53 
Jahr / Monat:
2013-11 
Heft / Issue:
Seitenangaben Beitrag:
722–732 
Status:
Verlagsversion / published 
TUM Einrichtung:
Lehrstuhl für Mathematische Statistik 
Format:
Text