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Document type:
Zeitungsartikel 
Author(s):
Fischer, M., Kraus, D., Pfeuffer, M., and Czado, C. 
Title:
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...    »
 
Keywords:
stress testing; quantile regression; vine copulas; expectile regression 
Journal title:
Risks 
Year:
2017 
Journal volume:
Year / month:
2017-07 
Quarter:
3. Quartal 
Month:
Jul 
Journal issue:
Pages contribution:
38-50 
Fulltext / DOI:
WWW:
_blank 
Publisher:
MDPI 
Publisher address:
Basel, Switzerland 
Print-ISSN:
2227-9091 
Status:
Erstveröffentlichung 
Accepted:
13.07.2017 
Date of publication:
19.07.2017