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Title:

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

Document type:
Zeitungsartikel
Author(s):
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...     »
Keywords:
stress testing; quantile regression; vine copulas; expectile regression
Journal title:
Risks
Year:
2017
Journal volume:
5
Year / month:
2017-07
Quarter:
3. Quartal
Month:
Jul
Journal issue:
3
Pages contribution:
38-50
Fulltext / DOI:
doi:10.3390/risks5030038
Publisher:
MDPI
Publisher address:
Basel, Switzerland
Print-ISSN:
2227-9091
Status:
Erstveröffentlichung
Accepted:
13.07.2017
Date of publication:
19.07.2017
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