Measuring market and credit risk under Solvency II: evaluation of the standard technique versus internal models for stock and bond markets-Reference-Cited by-同舟云学术

Measuring market and credit risk under Solvency II: evaluation of the standard technique versus internal models for stock and bond markets

Published:2020-05-27 Issue:2 Volume:10 Page:425-456
ISSN:2190-9733
Container-title:European Actuarial Journal
language:en
Short-container-title:Eur. Actuar. J.

Author:

Asadi Saeed,Al Janabi Mazin A. M.^ORCID

Publisher

Springer Science and Business Media LLC

Subject

Statistics, Probability and Uncertainty,Economics and Econometrics,Statistics and Probability

Link

https://link.springer.com/content/pdf/10.1007/s13385-020-00235-0.pdf

Reference43 articles.

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2. Al Janabi MAM, Ferrer R, Shahzad SJH (2019) Liquidity-adjusted value-at-risk optimization of a multi-asset portfolio using a vine copula approach. Phys A Stat Mech Appl 536(122579):1–17

3. Al Janabi MAM, Hernandez JA, Berger T, Nguyen DK (2017) Multivariate dependence and portfolio optimization algorithms under illiquid market scenarios. Eur J Oper Res 259(3):1121–1131

4. Arreola-Hernandez J, Al Janabi MAM (2020) Forecasting of dependence, market and investment risks of a global index portfolio. J Forecast 39(3):512–532

5. Arreola-Hernandez J, Hammoudeh S, Khuong ND, Al Janabi MAM, Reboredo JC (2017) Global financial crisis and dependence risk analysis of sector portfolios: a vine copula approach. Appl Econ 49(25):2409–2427

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