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Multivariate VaRs for operational risk capital computation: a vine structure approach
15 references·2 citing·36 second hop
Multivariate VaRs for operational risk capital computation: a vine structure approach (2013)Multivariate VaRs for operational risk ca…Truncated regular vines in high dimensions with application to financial data (2012)Truncated regular vines in hi…Selecting and estimating regular vine copulae and application to financial returns (2012)Selecting and estimating regu…Extreme-Value Copulas (2010)Extreme-Value CopulasCopula parameter estimation: numerical considerations and implications for risk management (2010)Copula parameter estimation: …An Econometric Study of Vine Copulas (2010)An Econometric Study of Vine …Operational risk quantification using extreme value theory and copulas: from theory to practice (2009)Operational risk quantificati…Models for construction of multivariate dependence – a comparison study (2008)Models for construction of mu…Robust Fits for Copula Models (2007)Robust Fits for Copula ModelsPair-copula constructions of multiple dependence (2007)Pair-copula constructions of …Operational Risk: A Guide to Basel II Capital Requirements, Models, and Analysis (2007)Operational Risk: A Guide to …A method to obtain new copulas from a given one (2005)A method to obtain new copula…Bivariate Distributions with Given Extreme Value Attractor (2000)Bivariate Distributions with …Coherent Measures of Risk (1999)Coherent Measures of RiskAn Introduction to Copulas (1999)An Introduction to CopulasMaxima of bivariate random vectors: Between independence and complete dependence (1994)Maxima of bivariate random ve…Double correlation model for operational risk: Evidence from Chinese commercial banks (2018)Double correlation model for …Analyzing reproduction of correlations in Monte Carlo simulations: application to mine project valuation (2014)Analyzing reproduction of cor…The Asymptotic Theory of Extreme Order Statistics (1990)Construction of non-exchangeable bivariate distribution functions (2007)Distorted Copulas: Constructions and Tail Dependence (2010)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances (1992)A review of copula models for economic time series (2012)Selecting and estimating regular vine copulae and application to financial returns (2012)Modeling Dependence with C- and D-Vine Copulas: The R Package CDVine (2013)An Overview of Value at Risk (1997)Modelling Extremal Events (1997)Conditional value-at-risk for general loss distributions (2002)Modeling and Forecasting Realized Volatility (2003)Theory of rational option pricing (2005)Lectures on Stochastic Programming (2009)Extreme values of independent stochastic processes (1977)Extreme Values, Regular Variation and Point Processes (1987)Families of $m$-variate distributions with given margins and $m(m-1)/2$ bivariate dependence parameters (1996)Copula Modeling: An Introduction for Practitioners (2007)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)A Semiparametric Estimation Procedure of Dependence Parameters in Multivariate Families of Distributions (1995)Everything You Always Wanted to Know about Copula Modeling but Were Afraid to Ask (2007)Vine Copula Based Modeling (2021)An Introduction to Statistical Modeling of Extreme Values (2001)Extreme Correlation of International Equity Markets (2001)Extremal Dependence Concepts (2015)A review of quantification methodologies for multi-hazard interrelationships (2019)Spillover Risks on Cryptocurrency Markets: A Look from VAR-SVAR Granger Causality and Student’s-t Copulas (2019)Operations in Financial Services—An Overview (2010)Reputational losses and operational risk in banking (2012)Business complexity and risk management: Evidence from operational risk events in U.S. bank holding companies (2020)Tails of multivariate Archimedean copulas (2009)Multivariate Archimax copulas (2014)Quantitative Risk Management: Concepts, Techniques, and Tools (2005)Multivariate GARCH models: a survey (2006)Introductory Econometrics for Finance (2008)
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References

  • 1999Coherent Measures of Risk8,849 cited
  • 1999An Introduction to Copulas7,812 cited
  • 2007Pair-copula constructions of multiple dependence2,082 cited
  • 2008Models for construction of multivariate dependence – a comparison study292 cited
  • 2012Truncated regular vines in high dimensions with application to financial data279 cited
  • 2010Extreme-Value Copulas229 cited
  • 1994Maxima of bivariate random vectors: Between independence and complete dependence208 cited
  • 2007Operational Risk: A Guide to Basel II Capital Requirements, Models, and Analysis201 cited
  • 2000Bivariate Distributions with Given Extreme Value Attractor159 cited
  • 2005A method to obtain new copulas from a given one113 cited
  • 2009Operational risk quantification using extreme value theory and copulas: from theory to practice42 cited
  • 2007Robust Fits for Copula Models38 cited
  • 2012Selecting and estimating regular vine copulae and application to financial returns31 cited
  • 2010An Econometric Study of Vine Copulas19 cited
  • 2010Copula parameter estimation: numerical considerations and implications for risk management18 cited

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Cited by

  • 2014Analyzing reproduction of correlations in Monte Carlo simulations: application to mine project valuation15 cited
  • 2018Double correlation model for operational risk: Evidence from Chinese commercial banks15 cited