Global ETD Search
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Showing 1 to 6 of 6 for “"CoVaR"”.
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Systemic risk measure
… um systematischen Risiko zu messen (CoVaR) mithilfe der Kopula wird in Betracht bezogen und zum hoher Dimension ausgeweitet. Darüber hinaus wird die Begriff der Risikobeitrag (Delta CoVaR) revidiert. Die Wertentwicklung der Delta CoVaR vor und nach der Staatsschuldenkrise wird für …
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Lévy copulae for stock returns
… verschiedener statistischer Kenngrößen wie VaR/CoVar/ES und sogar zur Optionsbewertung.
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Essays in Multivariate Modelling in Finance
… risk in the European banking sector based on the CoVaR methodology. In this part, a new methodology, based on copula functions, is proposed and extended to different CoVaR definitions and systemic risk measures. The proposed approach also recognises the time-varying dependence of financial …
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Risco Sistêmico do sistema bancário no Brasil
… of the banking system, in case of default. The CoVar method used by Adrian and Brunnermeier (2011) was used for bank asset data, and bank and non-bank liabilities. For this purpose, 20 institutions were used to show that the systemic risk is concentrated in only a few institutions. Among them, …
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RESEARCH ON THE MEASUREMENT AND INFLUENCING FACTORS OF SYSTEMIC RISKS IN CHINESE FINANCIAL INSTITUTIONS IN CASE OF MAJOR PUBLIC EMERGENCIES
… Then, it uses the time-varying Copula-CoVaR model to measure financial institutions' and industries' risk spillover effect on the whole financial system and analyze the characteristics and differences of risk spillover. Last, it uses the panel regression model to study the influencing …
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Automatic analysis of medical dialogue in the home hemodialysis domain : structure induction and summarization
Spoken medical dialogue is a valuable source of information, and it forms a foundation for diagnosis, prevention and therapeutic management. However, understanding even a perfect transcript of spoken dialogue is challenging for humans because of the lack of structure and the verbosity of dialogues. …