Market risk calculations in stock- and bond prices: a garch-copula approach

The financial crisis of $2008$-$2009$ has led to more strict regulatory supervisory on banks and insurance companies, focusing on better (market) risk models. The linear correlation models did not foresee the extreme losses in asset values, because they were not able to forecast high volatile markets in which the dependence between financial...

Risk measures of heavy-tailed data

How disastrous would it be if a flood occurred in your country? Or a Tsunami, earthquake etc... The events above are considered to be 'extreme'. When such phenomena happen the results are usually very destructive, but the probability that such an extreme event occurs is of course very small and might not even occur in an entire lifetime. The...