Conditional copula simulation for systemic risk stress testing

Insurance: Mathematics and Economics

Volumn 53, Issue 3, 2013, Pages 722-732

  Brechmann, Eike C ^a   Hendrich, Katharina ^a   Czado, Claudia ^a  

^a TECHNICAL UNIVERSITY OF MUNICH   (Germany)

Author keywords

CDS spreads; Multivariate copula; Sampling; Stress testing; Systemic risk; Vine copula

Indexed keywords

EID: 84886082819     PISSN: 01676687     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.insmatheco.2013.09.009     Document Type: Article

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