Dependence Modeling with Copulas covers the substantial advances that have taken place
in the field during the last 15 years, including vine copula modeling of high-dimensional …

In this paper we propose a framework for measuring and stress testing the systemic risk of a
group of major financial institutions. The systemic risk is measured by the price of insurance …

We adopt a systemic risk indicator measured by the price of insurance against systemic
financial distress and assess individual banks' marginal contributions to the systemic risk …

A practical guide to counterparty risk management and credit value adjustment from a
leading credit practitioner Please note that this second edition of Counterparty Credit Risk …

We analyze the impact of the shock to energy prices induced by the war in Ukraine on the
financial performance of the major European firms listed in the Eurostoxx 600 index. We find …

Credit default swaps (CDS) have been growing in importance in the global financial
markets. However, their role has been hotly debated, in industry and academia, particularly …

We propose a method for measuring the systemic importance of interconnected banks. In
order to capture contributions to system-wide risk, our measure accounts fully for the extent …

European banks became a source of risk to global financial markets during the financial
crisis and attention to the European banking sector increased during the sovereign debt …

Building upon the ideas introduced in their previous book, Derivatives in Financial Markets
with Stochastic Volatility, the authors study the pricing and hedging of financial derivatives …

THE commercial banking business has changed dramatically over the past 30 years, due in
large part to technological change. 1 Advances in telecommunications, information …