This paper delevops a tools to analyse the ordering of concordance of random vectors.

This papfer deals with distributional free inference to test for positive quadrant dependence, i.e. for the probability that two variables are simultaneously small (or large) being at least as great as it would be were they dependent.

In this paper, we characterize explicitly the first derivative of the Value at Risk and the Expected Shortfall with respect to portfolio allocation when netting between positions exists. As a particular case, we examine a simple Gaussian example in order to illustrate the impact of netting...

Ende der 90er Jahre schien eine intensive Auswahl der Investments kaum notwendig, da fast jede Aktienanlage deutliche Kursgewinne versprach. Nachdem jähen Absturz an den Börsen haben die Anleger einen beträchtlichen Teilihres Aktienvermögens verloren. Damit rücken wieder verstärkt...

We introduce a framework for analyzing the interplay between credit risk and collateralmarket risk on loan pricing. To do this, we decompose any loan into an unsecured and asecured part. Further we explicitly consider the recovery process. The framework allows usto develop semi-analytical...

In order to capture observed asymmetric dependence in international financial returns, we construct amultivariate regime-switching model of copulas. We model dependence with one Gaussian and onecanonical vine copula regime. Canonical vines are constructed from bivariate conditional copulas...

Starting from the Merton framework for firm defaults, we provide theanalytics and robustness of the relationship between defaultprobabilities and default correlations. We show that loans with higherdefault probabilities will not only have higher variances but also highercorrelations with other...

In recent years, credit risk has played a key role in risk management issues. Practitioners, academics and regulators have been fully involved in the process of developing, studying and analyzing credit risk models in order to find the elements which characterize a sound risk management system.(...)

Risk management and the thorough understanding of the relations betweenfinancial markets and the standard theory of macroeconomics have always been among the topics most addressed by researchers, both financial mathematicians and economists. This work aims at explaining investors behavior from a...

Option pricing models are calibrated to market data of plain vanillas by minimization of an error functional. From the economic viewpoint, there are several possibilities to measure the error between the market and the model. These different specifications of the error give rise to different...