57 citations · 110 across the 6 of their papers we have counts for
6 papers
Estimating VaR in credit risk: Aggregate vs single loss distribution
M. Assadsolimani, D. Chetalova
Using Monte Carlo simulation to calculate the Value at Risk (VaR) as a possible risk measure requires adequate techniques. One of these techniques is the application of a compound…
Dependence structure of market states
Desislava Chetalova, Marcel Wollschläger, Rudi Schäfer
We study the dependence structure of market states by estimating empirical pairwise copulas of daily stock returns. We consider both original returns, which exhibit time-varying tr…
Zooming into market states
Desislava Chetalova, Rudi Schäfer, Thomas Guhr
We analyze the daily stock data of the Nasdaq Composite index in the 22-year period 1992-2013 and identify market states as clusters of correlation matrices with similar correlatio…
Credit Risk and the Instability of the Financial System: an Ensemble Approach
Thilo A. Schmitt, Desislava Chetalova, Rudi Schäfer +1
The instability of the financial system as experienced in recent years and in previous periods is often linked to credit defaults, i.e., to the failure of obligors to make promised…
Portfolio return distributions: Sample statistics with non-stationary correlations
Desislava Chetalova, Thilo A. Schmitt, Rudi Schäfer +1
We consider random vectors drawn from a multivariate normal distribution and compute the sample statistics in the presence of non-stationary correlations. For this purpose, we cons…
Non-Stationarity in Financial Time Series and Generic Features
Thilo A. Schmitt, Desislava Chetalova, Rudi Schäfer +1
Financial markets are prominent examples for highly non-stationary systems. Sample averaged observables such as variances and correlation coefficients strongly depend on the time w…