Articles by Ahmad Farhat

• Original research

A vine copula–GARCH approach to corporate exposure management

This paper applies vine copulas with GARCH marginals to the problem of capturing asset dependence and tail dynamics for currency and commodity exposures commonly found in portfolios of global corporates.

• 05 Dec 2017

• Original research

A vine copula–GARCH approach to corporate exposure management

This paper applies vine copulas with GARCH marginals to the problem of capturing asset dependence and tail dynamics for currency and commodity exposures commonly found in portfolios of global corporates.

• 22 Aug 2017