Having large multivariate financial data sets available allows to carefully model the dependence structure. This might include tail dependence and asymmetry. For this modeling I will follow a copula based approach and utilize the class of multivariate vine copulas. This class is built using only bivariate copula terms, called pair copulas. I will introduce this class and discuss estimation and model selection.
Finally I will present their application in the area of stress testing to detect system risk of financial and insurance institutions.
General information about vine copulas, software and their applications
in finance can be found at vine-copula.or
Vortrag aus Archiv
Systemic stress testing using vine copulas
22.06.2015 16:45 - 17:45
Location:
Sky Lounge OMP1