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Titel:

Stress Testing German Industry Sectors: Results from a Vine Copula Based Quantile Regression

Dokumenttyp:
Zeitungsartikel
Autor(en):
Fischer, M., Kraus, D., Pfeuffer, M., and Czado, C.
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:
5
Jahr / Monat:
2017-07
Quartal:
3. Quartal
Monat:
Jul
Heft / Issue:
3
Seitenangaben Beitrag:
38-50
Volltext / DOI:
doi:10.3390/risks5030038
Verlag / Institution:
MDPI
Verlagsort:
Basel, Switzerland
Print-ISSN:
2227-9091
Status:
Erstveröffentlichung
Angenommen (von Zeitschrift):
13.07.2017
Publikationsdatum:
19.07.2017
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