User: Guest  Login
Title:

Conditional copula simulation for systemic risk stress testing

Document type:
Zeitschriftenaufsatz
Author(s):
Brechmann, E.C., Hendrich, K., and Czado, C.
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 Archi...     »
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:
3
Pages contribution:
722–732
Fulltext / DOI:
doi:http://dx.doi.org/10.1016/j.insmatheco.2013.09.009
WWW:
http://www.sciencedirect.com/science/article/pii/S016766871300142X
Status:
Verlagsversion / published
TUM Institution:
Lehrstuhl für Mathematische Statistik
Format:
Text
 BibTeX