Copulas
Berms without calibration
This paper suggests semi-analytical pricing model for Bermudan swaptions based on swap-rate distributions and the correlations between them which does not require product specific calibration.
Skewing the correlation in local and stochastic volatility frameworks via copulas
A copula-based model to capture correlation skew in multi-asset derivatives is presented
Systemic importance identification and risk supervision of banks: evidence from China
Investigating systemic risk, the authors build an interbank network based on tail dependence and suggest typical network centrality measures can suffer from redundancy issues.
A dynamic method-of-moments copula model approach for market risk estimates
The authors propose a method-of-moments copula technique for estimating asset portfolios' market risk, demonstrating a significant reduction in copula estimation time.
Operational risk modeling under the loss distribution approach: estimation of operational risk capital by business line versus risk category
The authors apply the loss distribution approach to operational risk data, contributing to understandings of the composition and distribution of operational risk data across risk classes and the corresponding operational risk capital requirements
Credit portfolio modeling and pricing using the Poisson binomial distribution
The authors extend the Poisson binomial distribution by integrating correlation and dependence between events, improving model validation and the capture of complex events.
Correlation breakdowns, spread positions and central counterparty margin models
The authors investigate correlation behavior during adverse market conditions and the potential impact on CCP margins, finding that such breakdowns appear to be more common than expected.
Dynamic signal selection strategies
The authors use eight models of pairwise dependency to select predictors that offer a high level of dependency in stock returns.
Pricing the correlation skew with normal mean–variance mixture copulas
The author puts forward a pricing methodology for European multi-asset derivatives that consists of a flexible copula-based method that can reproduce the correlation skew and is efficient enough for use with large baskets.
Modeling the exit cashflows of private equity fund investments
This paper analyzes the realized exit cashflows of individual portfolio companies in a joint modeling framework that describes both the exit timing and the exit performance.
Modeling multivariate operational losses via copula-based distributions with g-and-h marginals
In this paper, the authors propose a family of copula-based multivariate distributions with g-and-h marginals.
How to build a risk factor model for non-life insurance risk
In this paper the authors present a dependence model for non-life insurance risk based on risk factors, analogous to those generally used for life insurance or asset risk.
Time-varying tail dependence networks of financial institutions
In this paper time-varying tail dependence networks are constructed to investigate the complex interdependencies in the financial system.
Reinvestigating international crude oil market risk spillovers
This paper develops a copula-GARCH-MIDAS model to estimate the joint probability distribution of multivariate variables, and then derives CoVaR-type risk measures.
Systemic risk of the Chinese stock market based on the mobility measures of the marginal expected shortfall
This paper applies the dynamic mixture copula model method and proposes a mobility measure of the marginal expected shortfall to depict the changing systemic risk in China’s mainland stock market and Hong Kong’s stock market.
Nonhomogeneous bivariate compound Poisson process with short-term periodicity
This paper presents new results on the nonhomogeneous bivariate compound Poisson process with a short-term periodic intensity function.
Measurement of operational risk regulatory capital in the banking sector: developed countries versus emerging markets
This paper addresses operational risk as a fundamental risk type faced by banks in emerging and developed economies.
My kingdom for the right copula
Copulas can still deliver if chosen with due attention to intuition and data, says quant fund chair
Elliptical and Archimedean copula models: an application to the price estimation of portfolio credit derivatives
This paper explores the impact of elliptical and Archimedean copula models on the valuation of basket default swaps.
One-dimensional Markov-functional models driven by a non-Gaussian driver
The aim of this paper is to move away from a Gaussian assumption and to provide new algorithms that can be used to implement a Markov-functional model driven by a more general class of one-dimensional diffusion processes.
Parameter estimation, bias correction and uncertainty quantification in the Vasicek credit portfolio model
This paper is devoted to the parameterization of correlations in the Vasicek credit portfolio model. First, the authors analytically approximate standard errors for value-at-risk and expected shortfall based on the standard errors of intra-cohort…