Risk management with high-dimensional vine copulas: An analysis of the Euro Stoxx 50

By Eike C. Brechmann, Claudia Czado. 2013

172 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/a2162b6a428c58bb16e7535c0ed8728a578deee5

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Citations in the corpus

Copula-Based Models of Systemic Risk in U.S. Agriculture: Implications for Crop Insurance and Reinsurance Contracts (2015, unknown): “Finally, we discuss the implications of our results for the viability of private crop insurance contracts and concomitant arguments for government support through subsidized premiums and reinsurance.”
Pair-Copula Constructions for Financial Applications: A Review (2016, methodology): “Later, Brechmann [79] extended the CAVA model to the more general structure of R-vines resulting in the regular vine market sector (RVMS) model.”
Selecting and estimating regular vine copulae and application to financial returns (2012, background): “This further balances the model ﬂexibility with the desired parsimony of the model and opens R-vines to applications in large dimensions (see also Brechmann and Czado (2011)).”
Multivariate dependence risk and portfolio optimization: An application to mining stock portfolios (2015, methodology): “With respect to the literature that uses copulas in portfolio optimization, our research is broadly linked to the contributions of Kakouris and Rustem (2014), Low et al. (2013) and Brechmann and Czado (2013) and Ye et al. (2012).”
Modeling Dependence with C- and D-Vine Copulas: The R Package CDVine (2013, methodology): “Inference and model selection of these are treated in Dißmann, Brechmann, Czado, and Kurowicka (2013) and Brechmann, Czado, and Aas (2012), while a large scale ﬁnancial application can be found in Brechmann and Czado (2012).”
Probabilistic modeling of flood characterizations with parametric and minimum information pair-copula model (2016, background): “…studies (Aas et al., 2009; Czado and Min, 2010; Min and Czado, 2010; Bauer et al., 2012; Dissmann et al., 2013; Brechmann et al., 2014), risk management (Brechmann and Czado, 2013; Brechmann et al., 2014), energy (Czado et al., 2011), hydrological drought frequency analysis (Song and Singh, 2010).”
Value-at-risk and expected shortfall in cryptocurrencies’ portfolio: a vine copula–based approach (2019, unknown): “To compute the VaR and ES, we follow a methodology similar to Brechmann and Czado (2013). The steps are detailed as follows(4)”