Claudia Czado

Technische Universität München (TUM)

Arcisstrasse 21

Munich, DE 80333

Germany

SCHOLARLY PAPERS

5

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SSRN CITATIONS
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5

CROSSREF CITATIONS

10

Scholarly Papers (5)

1.

Statistical Assessments of Systemic Risk Measures

Number of pages: 19 Posted: 12 May 2012
Carole Bernard, Eike Brechmann and Claudia Czado
Grenoble Ecole de Management, Technische Universität München (TUM) and Technische Universität München (TUM)
Downloads 558 (59,308)
Citation 1

Abstract:

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2.

Flexible Dependence Modeling of Operational Risk Losses and Its Impact on Total Capital Requirements

Number of pages: 27 Posted: 17 Apr 2013
Eike Brechmann, Claudia Czado and Sandra Paterlini
Technische Universität München (TUM), Technische Universität München (TUM) and University of Trento - Department of Economics and Management
Downloads 274 (134,584)
Citation 3

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operational risk, risk capital, dependence modeling, zero inflation, Student's t copula, vine copula

3.

Modelling Longitudinal Data Using a Pair-Copula Decomposition of Serial Dependence

Journal of the American Statistical Association (Theory and Methods Section), Forthcoming
Number of pages: 33 Posted: 26 Jul 2010
University of Melbourne - Melbourne Business School, Technische Universität München (TUM), affiliation not provided to SSRN and Technische Universität München (TUM)
Downloads 174 (207,596)
Citation 1

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Longitudinal Copulas, Covariance Selection, Inhomogeneous Markov Process, Dvine, Bayesian Model Selection, Goodness of Fit, Intraday Electricity Load

4.

Modeling Dependence of Operational Loss Frequencies

Number of pages: 16 Posted: 27 Oct 2013
Eike Brechmann, Claudia Czado and Sandra Paterlini
Technische Universität München (TUM), Technische Universität München (TUM) and University of Trento - Department of Economics and Management
Downloads 162 (219,473)
Citation 1

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operational risk, dependence modeling, pair copula construction, loss frequencies

5.

ESG, Risk, and (Tail) Dependence

Number of pages: 31
University of Trento - Department of Economics and Management, Technische Universität München (TUM), Technische Universität München (TUM) and University of Trento - Department of Economics and Management
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ESG scores, Risk, Dependence, Tail dependence, Vine Copula models