Montag, 22. Juni 2015, 17:00 - 18:00 iCal

ISOR Colloquium

"Systemic stress testing using vine copulas"

Presentation: Claudia Czado (TU Munich)

Sky Lounge OMP1, 12th Floor
Oskar-Morgenstern-Platz 1, 1090 Vienna


Having large multivariate financial data sets available allows to carefully model the dependence structure. This might include tail dependence and asymmetry. For this modeling I will follow a copula based approach and utilize the class of multivariate vine copulas. This class is built using only bivariate copula terms, called pair copulas. I will introduce this class and discuss estimation and model selection.

Finally I will present their application in the area of stress testing to detect system risk of financial and insurance institutions.

General information about vine copulas, software and their applications

in finance can be found at vine-copula.or

Zur Webseite der Veranstaltung


Institut für Statistik und Operations Research


Mag. Vera Lehmwald
Fakultät für Wirtschaftswissenschaften
Institut für Statistik und Operations Research
+43 1 4277 38651