Vine Copula based portfolio level conditional risk measure forecasting

E Sommer, K Bax, C Czado - Econometrics and Statistics, 2023 - Elsevier
Accurately estimating risk measures for financial portfolios and validating their robustness is
critical for both financial institutions and regulators. However, many existing models operate …

Vine copulas for capital requirements: a probability equivalent level analysis

F Grobbo - 2024 - webthesis.biblio.polito.it
The study of capital requirements is an extremely important topic for the stability of the
financial system. Recent geopolitical shocks including the war in Ukraine, the Israeli …