Cover Image

Portfolio credit risk with Archimedean copulas: asymptotic analysis and efficient simulation

Fuente: arXiv

Saved in:

Bibliographic Details
Main Authors:	Cui, Hengxin, Tan, Ken Seng, Yang, Fan
Format:	Preprint
Published:	2024
Subjects:	Risk Management
Online Access:	Acceder al recurso
Tags:	Add Tag No Tags, Be the first to tag this record!

Similar Items

Institutionalizing risk curation in decentralized credit
by: Zbandut, Anastasiia, et al.
Published: (2025)

A stochastic correlation extension of the Vasicek credit risk model
by: Bansal, Dhruv, et al.
Published: (2026)

Incorporating data drift to perform survival analysis on credit risk
by: Peng, Jianwei, et al.
Published: (2026)

Quantum Monte Carlo simulations for financial risk analytics: scenario generation for equity, rate, and credit risk factors
by: Matsakos, Titos, et al.
Published: (2023)

The checkerboard copula and dependence concepts
by: Lin, Liyuan, et al.
Published: (2024)

The impact of class imbalance in logistic regression models for low-default portfolios in credit risk
by: Schutte, Willem D., et al.
Published: (2026)

Tail copula representation of path-based maximal tail dependence
by: Koike, Takaaki, et al.
Published: (2026)

Quantile and expectile copula-based hidden Markov regression models for the analysis of the cryptocurrency market
by: Foroni, Beatrice, et al.
Published: (2023)

Modeling structure and credit risk of the economy: a multilayer bank-firm network approach
by: Majhi, Soumen, et al.
Published: (2026)

Noise-proofing Universal Portfolio Shrinkage
by: Ruelloux, Paul, et al.
Published: (2025)

Dynamic Tracking Error and the Total Portfolio Approach
by: Alankar, Ashwin, et al.
Published: (2026)

Temperature Anomalies and Climate Physical Risk in Portfolio Construction
by: Azzone, Michele, et al.
Published: (2026)

Vault as a credit instrument
by: Zbandut, Anastasiia, et al.
Published: (2026)

Improving Estimation of Portfolio Risk Using New Statistical Factors
by: Liu, Xialu, et al.
Published: (2024)

Second order asymptotics for discounted aggregate claims of continuous-time renewal risk models with constant interest force
by: Genga, Bingzhen, et al.
Published: (2025)

Portfolio Optimization for Index Tracking with Constraints on Downside Risk and Carbon Footprint
by: Biswas, Suparna, et al.
Published: (2025)

Choquet rating criteria, risk measures, and risk consistency
by: Guo, Nan, et al.
Published: (2025)

Can Limited Liability Increase Stability for Banks: A Dynamic Portfolio Approach
by: Barik, Deb Narayan, et al.
Published: (2025)

Time‐varying copula‐based compound flood risk assessment of extreme rainfall and high water level under a non‐stationary environment
by: Mingming Song, et al.
Published: (2024)

Portfolio Analysis Based on Markowitz Stochastic Dominance Criteria: A Behavioral Perspective
by: Xu, Peng
Published: (2025)

Mirror Descent Algorithms for Risk Budgeting Portfolios
by: Iglesias, Martin Arnaiz, et al.
Published: (2024)

Using CPI in Loss Given Default Forecasting Models for Commercial Real Estate Portfolio
by: Wu, Ying, et al.
Published: (2024)

Taming Tail Risk in Financial Markets: Conformal Risk Control for Nonstationary Portfolio VaR
by: Schmitt, Marc
Published: (2026)

Sample Average Approximation for Portfolio Optimization under CVaR constraint in an (re)insurance context
by: Lelong, Jérôme, et al.
Published: (2024)

Measuring the risk or reducing it, that is the question: is risk measurement necessary for risk reduction?
by: Uberti, Pierpaolo
Published: (2026)

Research on Financial Multi-Asset Portfolio Risk Prediction Model Based on Convolutional Neural Networks and Image Processing
by: Lei, Fu, et al.
Published: (2024)

Market-Neutral Strategies in Mid-Cap Portfolio Management: A Data-Driven Approach to Long-Short Equity
by: Kothari, Saumya, et al.
Published: (2024)

Counter-monotonic risk allocations and distortion risk measures
by: Ghossoub, Mario, et al.
Published: (2024)

The Interplay between Utility and Risk in Portfolio Selection
by: Baggiani, Leonardo, et al.
Published: (2025)

Neural Networks for Portfolio-Level Risk Management: Portfolio Compression, Static Hedging, Counterparty Credit Risk Exposures and Impact on Capital Requirement
by: Dhandapani, Vikranth Lokeshwar, et al.
Published: (2024)

Submodular risk measures
by: Wang, Ruodu, et al.
Published: (2026)

On evaluation of joint risk for non-negative multivariate risks under dependence uncertainty
by: Gong, Shuo, et al.
Published: (2022)

A Three--Dimensional Efficient Surface for Portfolio Optimization
by: Qiu, Yimeng
Published: (2026)

Asymptotics of Sum of Heavy-tailed Risks with Copulas
by: Yang, Fan, et al.
Published: (2024)

Beyond probability-impact matrices in project risk management: A quantitative methodology for risk prioritisation
by: Acebes, Fernando, et al.
Published: (2024)

Valuing insurance against small probability risks: A meta-analysis
by: Mankaï, Selim, et al.
Published: (2024)

Coherent risk measures and uniform integrability
by: Huang, Muqiao, et al.
Published: (2024)

Systemic risk measures with markets volatility
by: Sun, Fei, et al.
Published: (2018)

Synthetic Data for Portfolios: A Throw of the Dice Will Never Abolish Chance
by: Cetingoz, Adil Rengim, et al.
Published: (2025)

A Portfolio-Anchored Frequency-Severity Risk Index for Trip and Driver Assessment Using Telematics Signals
by: Lee, Jongtaek, et al.
Published: (2026)