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Eike Brechmann · Study
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Author
Eike Brechmann
7 works
· latest 2015
· 1 institutions
cluster: provisional
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7
Citations
1,431
Works here
7
12
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15
Most cited in this library
Selecting and estimating regular vine copulae and application to financial returns
2012 · 743 citations
Truncated regular vines in high dimensions with application to financial data
2012 · 279 citations
Risk management with high-dimensional vine copulas: An analysis of the Euro Stoxx 50
2013 · 163 citations
Conditional copula simulation for systemic risk stress testing
2013 · 73 citations
Total loss estimation using copula-based regression models
2013 · 72 citations
Works
7 shown
Truncation of vine copulas using fit indices
Journal of Multivariate Analysis
·
2015
·
2 authors
·
Open access
43
citations
Flexible dependence modeling of operational risk losses and its impact on total capital requirements
Journal of Banking & Finance
·
2013
·
3 authors
·
Open access
58
citations
Risk management with high-dimensional vine copulas: An analysis of the Euro Stoxx 50
Statistics & Risk Modeling
·
2013
·
2 authors
163
citations
Conditional copula simulation for systemic risk stress testing
Insurance Mathematics and Economics
·
2013
·
3 authors
·
Open access
73
citations
Total loss estimation using copula-based regression models
Insurance Mathematics and Economics
·
2013
·
4 authors
72
citations
Selecting and estimating regular vine copulae and application to financial returns
Computational Statistics & Data Analysis
·
2012
·
4 authors
·
Open access
743
citations
Truncated regular vines in high dimensions with application to financial data
Canadian Journal of Statistics
·
2012
·
3 authors
279
citations