Risk Management: Value at Risk and Beyond

By Thorsten Rheinländer. 2003

758 citations recorded by the source corpus.

Subfields: Accounting, Economics and Econometrics, Soil Science

View Paper: https://www.semanticscholar.org/paper/9492c98232afaac8ca540c18128e217f63bb0b54

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Accounting

In Economics and Econometrics

In Soil Science

Citations in the corpus

Operational Risk Quantification Using Extreme Value Theory and Copulas: From Theory to Practice (2009, neutral): “The original mathematical theory is available in Embrechts et al. (2002a).”
Asymmetric CAPM dependence for large dimensions: the Canonical Vine Autoregressive Model (2009, neutral): “It is important to realize that the non-linear transformations from ρ t to the copula parameters are part of the way in which we specify 5 See for instance Embrechts et al. (2002).”
Sampling from Archimedean copulas (2004, methodology): “Embrechts et al. discuss this for the Gumbel copula [Embrechts et al., 2001a] and show that this additional constraint is satisfied if the successive generating functions φ i (x) have parameters α i which satisfy α 1 ≥ α 2 ≥ · · · ≥ α N , meaning the degree of dependence is greatest for the most…”
Estimation of Copula-Based Semiparametric Time Series Models (2006, background): “…this flexibility, copulas have gained popularity in the finance and insurance community 3 in the past few years, where modeling and estimating the dependence structure between several univariate time series are of great interest; see Frees and Valdez (1998) and Embrechts et al. (2002) for reviews.”
Modeling exchange rate dependence dynamics at different time horizons (2010, methodology): “The copula families used in modeling the data are: Student-t, Frank, Plackett, Gaussian, Gumbel and Clayton; for details on these classes see Joe (1997), Embrechts et al. (2002) and Nelsen (2006). This choice of copula”