Modeling System Risk in the South African Insurance Sector: A Dynamic Mixture Copula Approach

In this paper, a dynamic mixture copula model is used to estimate the marginal expected shortfall in the South African insurance sector. We also employ the generalized autoregressive score model (GAS) to capture the dynamic asymmetric dependence between the insurers’ returns and the stock market ret...

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Bibliographic Details
Published in:	International Journal of Financial Studies
Main Authors:	John Weirstrass Muteba Mwamba, Ehounou Serge Eloge Florentin Angaman
Format:	Article
Language:	English
Published:	MDPI AG 2021-05-01
Subjects:	dynamic mixture copula marginal expected shortfall systemic risk insurance sector
Online Access:	https://www.mdpi.com/2227-7072/9/2/29

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