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ESG, Risk, and (Tail) Dependence
- Computer ScienceSSRN Electronic Journal
- 2021
Analyzing the (tail) dependence structure of companies with a range of ESG scores, using high-dimensional vine copula modelling, it is shown that risk can also depend on and be directly associated with a specific ESG rating class.
Cyber-risk decision models: To insure IT or not?
- Computer ScienceDecis. Support Syst.
- 2013
Correlation Analysis of Chinese and American Stock Markets Based on Vine-Copula Model
- EconomicsICITEE
- 2019
A GARCH-Vine copula model to analyze the tail dependence of different stock markets based on the fat-tail and volatility clustering characteristics of financial data is proposed and the research results show that the proposed model is feasible and effective.
Analysis of train derailment severity using vine copula quantile regression modeling
- EngineeringTransportation Research Part C: Emerging Technologies
- 2019
Copula-based models in railroad maintenance and safety analysis
- Business
- 2018
The American railroad industry has been a primary stakeholder in the economic development of the nation for close to two centuries and derailments remain a major concern for the railroads due to their high consequences which include loss of life and property, disruption of services, injury, and destruction to the natural environment.
Modeling tamping recovery of track geometry using the copula-based approach
- Computer Science
- 2018
This research employs the copula models in combining arbitrary marginal distributions to form a joint multivariate distribution with the underlying dependence between the variables, which may exhibit nonlinear dependences such as tail or asymmetric dependence.
Financial Applications of Random Matrix Theory: a short review
- Economics
- 2018
We discuss the applications of Random Matrix Theory in the context of financial markets and econometric models, a topic about which a considerable number of papers have been devoted to in the last…
Time-dependent reliability analysis for deteriorating structures using imprecise probability theory
- Engineering
- 2017
Faculty of Engineering and Information Technologies School of Civil Engineering Doctor of Philosophy
Simulation-based capital models: testing, justifying and communicating choices. A report from the life aggregation and simulation techniques working party
- Economics
- 2017
The practical challenges in parameterising a copula including how allowance may be made for tail dependence are described and how insurers could test, communicate and justify the choices made through the use of some examples are outlined.
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