Grimmaische Str. 12
University of Leipzig - Faculty of Economics and Management Science
in Total Papers Downloads
in Total Papers Citations
P2P lending, online market, adverse selection, social lending
Copulae, minimum-distance method, simulation, L1-variant, maximum-likelihood
M&A, Banks, Consolidation, Systemic Risk, Lower Tail Dependence, Marginal Expected Shortfall, Distance to Default
Liquidity, Commonality, Vine Copulas, liquidity-adjusted intraday, Value-at-Risk
Value-at-Risk, backtesting, Monte Carlo simulation
cat bonds, insurance industry, systemic risk
Dependence structures, Risk management, Copulas, parameter estimation
Financial Crises, Insurance Industry, Systemic Risk, Consolidation, Mergers
CCC-GARCH, DCC-GARCH, Estimation window, Structural breaks, VaR-forecast
Dependence structures, Risk management, Copulas, Goodness-of-fit-testing
M&A, Banks, Event Study, Rival Returns
financial crises, systemic risk, bank regulation, regulatory capital, deposit insurance
Credit default swaps, CDS tail beta, asymmetric extreme dependence, tail risk, copulas
Dependence structures; copulas; goodness-of-fit-testing; robustness
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goodness-of-fit tests, mixture copula components
Contagion, subprime crisis, bailout, mortgage bank
Systemic risk, insurer size, interconnectedness, insurance
Financial Crises, Insurance Industry, Systemic Risk
Financial Crises, Systemic Risk, Determinants
finance, dependence structures, vine copulas, Bernstein copulas
Bank stock performance, bank regulation, capital, implicit bailout guarantee.
Financial crises, insurance, investor sentiment
Dependence structures; Vine Copulas; Mixture Copulas; Model Selection
Copula, tail dependence, nonparametric estimation, Value-at-Risk, Canonical Maximum-Likelihood
Financial Crisis, Systemic Equity Risk, Derivatives, Securitization, Risk Management
Financial crisis, bank performance, investor sentiment
Credit default swaps, liquidity commonality, liquidity risk
Model Risk, Multivariate Backtesting, Value-at-Risk
Banking, capital regulation, systemic risk
Systemic Risk, Interconnectedness, Systemic Relevance, Financial Stability
risk management, insurer, derivatives hedging, insurance
Asymmetry, coskewness, exchangeability, copula, diversification
Asymmetry, exchangeability, copula, diversification
Credit default swaps, noise trading, household sentiment, market liquidity
Credit default swaps, liquidity risk, copula, liquidity tail beta
Bank runs, depositor sentiment, bank deposits, deposit insurance
Contagion Effects, Bailout, Event Study, Copula
Capital, insurance, performance, profitability, capital structure.
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