Claudia Czado

Technische Universität München (TUM) - Department of Mathematics

SCHOLARLY PAPERS

9

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Top 45,303

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5

CROSSREF CITATIONS

10

Scholarly Papers (9)

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) - Department of Mathematics
Downloads 568 (71,717)
Citation 1

Abstract:

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2.

ESG, Risk, and (Tail) Dependence

Number of pages: 44 Posted: 18 May 2021 Last Revised: 19 Oct 2022
Technical University of Munich, Technische Universität München (TUM), Technische Universität München (TUM) - Department of Mathematics and University of Trento - Department of Economics and Management
Downloads 373 (118,090)
Citation 1

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ESG scores, Risk, Dependence, Tail dependence, Vine Copula models

3.

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) - Department of Mathematics and University of Trento - Department of Economics and Management
Downloads 290 (154,495)
Citation 3

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

4.

The pitfalls of (non-definitive) Environmental, Social, and Governance scoring methodology

Global Finance Journal, Forthcoming
Number of pages: 25 Posted: 30 Jan 2022 Last Revised: 23 Sep 2022
Technische Universität München (TUM), Technical University of Munich, University of Trento - Department of Economics and Management and Technische Universität München (TUM) - Department of Mathematics
Downloads 210 (211,683)

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Corporate social responsibility, data-mining, data quality, ESG scores, risk, sustainability performance

5.

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) - Department of Mathematics
Downloads 188 (233,731)
Citation 1

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

6.

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) - Department of Mathematics and University of Trento - Department of Economics and Management
Downloads 176 (247,468)
Citation 1

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

7.

Environmental, Social, Governance scores and the Missing pillar - Why does missing information matter?

Corporate Social Responsibility and Environmental Management
Number of pages: 27 Posted: 24 Jul 2021 Last Revised: 20 Jun 2022
Technische Universität München (TUM), Technical University of Munich, Technische Universität München (TUM) - Department of Mathematics and University of Trento - Department of Economics and Management
Downloads 127 (321,508)

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Disclosure, ESG investment, ESG methodology, missing data, sustainable finance, Value-at-Risk

8.

Vine Copula Based Portfolio Level Conditional Risk Measure Forecasting

Number of pages: 24 Posted: 29 Aug 2022
Emanuel Sommer, Karoline Bax and Claudia Czado
Technische Universität München (TUM), Technical University of Munich and Technische Universität München (TUM) - Department of Mathematics
Downloads 87 (414,243)

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Portfolio Risk estimation, Expected Shortfall, Vine Copulas, Sampling, ARMA-GARCH, Stress testing

9.

Vine Copula Based Dependence Modeling in Sustainable Finance

Number of pages: 39 Posted: 08 Nov 2022
Technische Universität München (TUM) - Department of Mathematics, Technical University of Munich, Technische Universität München (TUM), Ludwig Maximilian University of Munich (LMU) - Department of Statistics, Technische Universität München (TUM) - Department of Mathematics and University of Trento - Department of Economics and Management
Downloads 20 (737,917)

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Copulas, Vine Copulas, cross sectional and temporal dependence, ESG, sustainability PACS: 0000, 1111