Eike Brechmann

Technische Universität München (TUM)

Arcisstrasse 21

Munich, 80333

Germany

SCHOLARLY PAPERS

4

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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 (49,275)

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 263 (116,107)
Citation 1

Abstract:

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

3.

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 156 (189,366)

Abstract:

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

4.

A Multivariate Volatility Vine Copula Model

Econometric Reviews, Forthcoming
Posted: 05 Nov 2015
Eike Brechmann, Moritz Heiden and Yarema Okhrin
Technische Universität München (TUM), University of Augsburg and University of Augsburg

Abstract:

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Copula, Forecasting, Realized covariances, Realized volatility, Vine