Measuring financial risks with copulas

By Beatriz Vaz de Melo Mendes, Rafael Martins de Souza. 2004

107 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/d772b972d98fa0a3feb5b23cabcddb94ed4b4318

How researchers see this paper

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

In Economics and Econometrics

1. J. Shiau
2. Nikolai Kolev
3. U. D. Anjos
4. Beatriz Vaz de Melo Mendes

In Finance

1. J. Shiau
2. Nikolai Kolev
3. U. D. Anjos
4. Beatriz Vaz de Melo Mendes

In Management Science and Operations Research

1. J. Shiau
2. Nikolai Kolev
3. U. D. Anjos
4. Beatriz Vaz de Melo Mendes

Citations in the corpus

• Copulas: A Review and Recent Developments (2006, background): “The issues of measuring financial risk and assessing the effect of copula choice on risk measures were addressed by a number of authors, including Embretchs et al.[40,41], Ané and Kharoubi[2], Mendes and Souza[83], among others.”
• Fitting Drought Duration and Severity with Two-Dimensional Copulas (2006, methodology): “Over four decades after Sklar (1959) introduced copulas, they have been used in insurance and finance (Frees et al., 1996; Frees and Valdez, 1998; Klugman and Parsa, 1999; H¨ urlimann, 2004; Mendes and Souza, 2004 ) and hydrology (De Michele and Salvadori, 2003; De Michele et al., 2004; Favre et al”
• A multivariate conditional model for streamflow prediction and spatial precipitation refinement (2015, unknown): “Gaussian (Normal) copula [Mendes and Souza, 2004] a.”