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Document type:
Zeitschriftenaufsatz 
Author(s):
Brechmann, E.C., Hendrich, K., and Czado, C. 
Title:
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...    »
 
Keywords:
multivariate copula, sampling, vine copula, systemic risk, stress testing, CDS spreads 
Journal title:
Insurance: Mathematics and Economics 
Year:
2013 
Journal volume:
53 
Year / month:
2013-11 
Journal issue:
Pages contribution:
722–732 
Status:
Verlagsversion / published 
TUM Institution:
Lehrstuhl für Mathematische Statistik 
Format:
Text