Concepedia

Copula-based Risk Modeling

Copula-Based Risk Modeling is a risk modeling framework that employs copula functions to capture the dependence structure among random variables, enabling the separation of marginal distributions from their joint dependence behavior in the assessment of aggregate risk.

479

Publications

25.1K

Citations

1.1K

Authors

564

Institutions

Publications per year

2017–2026

233

Parents

Publications

479

Understanding Relationships Using Copulas

Edward W. Frees, Emiliano A. Valdez · North American Actuarial Journal · 1998 · 1.3K citations

, , +13

Valuation of a CDO and an <i>n</i> -th to Default CDS Without Monte Carlo Simulation

John C. Hull, Alan White · The Journal of Derivatives · 2004 · 509 citations

, , +17

Modeling systemic risk and dependence structure between oil and stock markets using a variational mode decomposition-based copula method

Walid Mensi, Shawkat Hammoudeh, Syed Jawad Hussain Shahzad et al. · Journal of Banking & Finance · 2016 · 344 citations

, , +17

Importance Sampling for Portfolio Credit Risk

Paul Glasserman, Jingyi Li · Management Science · 2005 · 343 citations

, , +17

Copula-Dependent Defaults in Intensity Models

Philipp Schönbucher, Dirk Schubert · SSRN Electronic Journal · 2002 · 311 citations · Full text

, , +13

1–5 of 479

Authors

1.1K

  1. SJ
    Syed Jawad Hussain Shahzad

    Montpellier Business School, France

    8 publications · 931 citations

    8

    h-index

  2. YL
    Yongping Li

    University of Regina, Canada

    8 publications · 354 citations

    7

    h-index

  3. QJ
    Qiang Ji

    Chinese Academy of Sciences, China

    7 publications · 839 citations

    7

    h-index

  4. GH
    Guohe Huang

    University of Regina, Canada

    6 publications · 227 citations

    6

    h-index

  5. TR
    Thierry Roncalli

    Université d'Évry Val-d'Essonne, France

    6 publications · 341 citations

    6

    h-index

1–5 of 1.1K

Institutions

564

  1. University of Regina

    Regina, Canada

    12 h-index

    26 publications

    1K citations

  2. Chinese Academy of Sciences

    Beijing, China

    11 h-index

    25 publications

    1.6K citations

  3. Beijing Normal University

    Beijing, China

    11 h-index

    44 publications

    1.7K citations

  4. ETH Zurich

    Zurich, Switzerland

    11 h-index

    15 publications

    1.8K citations

  5. Montpellier Business School

    Montpellier, France

    10 h-index

    17 publications

    2.4K citations

  6. Université d'Évry Val-d'Essonne

    Évry-Courcouronnes, France

    9 h-index

    13 publications

    734 citations

  7. Institutes of Science and Development

    Beijing, China

    8 h-index

    12 publications

    1.4K citations

  8. Technical University of Munich

    Munich, Germany

    8 h-index

    19 publications

    1.1K citations

1–8 of 564

Venues

  1. SSRN Electronic Journal

    Repository · 38 publications · 1.6K citations

    20

    h-index

  2. Insurance Mathematics and Economics

    16 publications · 648 citations

    14

    h-index

  3. Quantitative Finance

    14 publications · 549 citations

    13

    h-index

  4. Energy Economics

    10 publications · 1.4K citations

    10

    h-index

  5. Journal of Hydrology

    9 publications · 751 citations

    9

    h-index

1–5