Claudia Czado

Technische Universität München (TUM)

Arcisstrasse 21

Munich, 80333

Germany

SCHOLARLY PAPERS

4

DOWNLOADS
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Top 37,977

in Total Papers Downloads

1,130

CITATIONS
Rank 42,076

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Top 42,076

in Total Papers Citations

11

Scholarly Papers (4)

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 549 (48,880)

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 261 (116,142)
Citation 1

Abstract:

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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 165 (179,279)
Citation 1

Abstract:

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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 155 (189,062)

Abstract:

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