Concepedia

Eike Brechmann

EB

10

Publications

1.5K

Citations

10

H-Index

2010

Active since

Affiliations

Technical University of Munich(Current)

University of British Columbia

Eike Brechmann is an author at Technical University of Munich specializing in statistics, engineering, and copulas.

Top concepts

StatisticsEngineeringCopulasBusinessFinanceBiostatisticsRisk ManagementFinancial ModelingStatistical InferenceQuantitative Management

Publications per year

2010–2015

10

Publications

10

Selecting and estimating regular vine copulae and application to financial returns

Eike Brechmann, Claudia Czado, Dorota Kurowicka · Computational Statistics & Data Analysis · 2012 · 689 citations

Econometric Model, Economics, Engineering +12

Truncated regular vines in high dimensions with application to financial data

Eike Brechmann, Claudia Czado, Kjersti Aas · Canadian Journal of Statistics · 2012 · 267 citations

Engineering, Financial Data, Regular Vine Copula +21

Risk management with high-dimensional vine copulas: An analysis of the Euro Stoxx 50

Eike Brechmann, Claudia Czado · Statistics & Risk Modeling · 2013 · 163 citations

Regular Vine Copula, Asset Allocation, Risk Analysis +20

Conditional copula simulation for systemic risk stress testing

Eike Brechmann, Katharina Hendrich, Claudia Czado · Insurance Mathematics and Economics · 2013 · 74 citations

Engineering, Risk Model Validation, Risk Management +6

Total loss estimation using copula-based regression models

Nicole Krämer, Eike Brechmann, Daniel Silvestrini et al. · Insurance Mathematics and Economics · 2013 · 72 citations

Density Estimation, Engineering, Semi-nonparametric Estimation +7

Rows per page

1–5 of 10