55 citations · 73 across the 8 of their papers we have counts for
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q-fin.RM2011
On Multivariate Extensions of Value-at-Risk
Areski Cousin, Elena Di Bernadino
In this paper, we introduce two alternative extensions of the classical univariate Value-at-Risk (VaR) in a multivariate setting. The two proposed multivariate VaR are vector-value…
q-fin.RM2009★ 12 cited
An extension of Davis and Lo's contagion model
Didier Rullière, Diana Dorobantu, Areski Cousin
The present paper provides a multi-period contagion model in the credit risk field. Our model is an extension of Davis and Lo's infectious default model. We consider an economy of…