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Eike Brechmann

Technical University of Munich (per OpenAlex) · OpenAlex

11 papers in scope · 10 published · 2 on the econ.EM arXiv · 1,459 citations · h-index 9 (over the papers listed here)

Papers

(1 of 11)

A Self-Attention Network for Hierarchical Data Structures with an Application to Claims Management
working paper2018 · arXiv
with Leander Löw, Martin Spindler
Paper profile arXiv arXiv:1808.10543
Truncation of vine copulas using fit indices
published2015 · Journal of Multivariate Analysis · 42 citations
with Harry Joe
Journal of Multivariate Analysis
Parsimonious parameterization of correlation matrices using truncated vines and factor analysis
published2014 · Computational Statistics & Data Analysis · 21 citations
with Harry Joe
Computational Statistics & Data Analysis
Flexible dependence modeling of operational risk losses and its impact on total capital requirements
published2013 · Journal of Banking & Finance · 58 citations
with Claudia Czado, Sandra Paterlini
Journal of Banking & Finance
Risk management with high-dimensional vine copulas: An analysis of the Euro Stoxx 50
published2013 · Statistics & Risk Modeling · 165 citations
with Claudia Czado
Statistics & Risk Modeling
Conditional copula simulation for systemic risk stress testing
published2013 · Insurance Mathematics and Economics · 75 citations
with Katharina Hendrich, Claudia Czado
Insurance Mathematics and Economics
Total loss estimation using copula-based regression models
published2013 · Insurance Mathematics and Economics · 72 citations · first circulated 2012
with Nicole Krämer, Daniel Silvestrini, Claudia Czado, Nicole Kraemer
Insurance Mathematics and Economics
CDVine: Modeling Dependence with C-and D-Vine Copulas in R
published2013 · Journal of Statistical Software · 28 citations
with Ulf Schepsmeier
no link
Selecting and estimating regular vine copulae and application to financial returns
published2012 · Computational Statistics & Data Analysis · 721 citations
with Jeffrey Dissmann, Claudia Czado, Dorota Kurowicka
Computational Statistics & Data Analysis
Truncated regular vines in high dimensions with application to financial data
published2012 · Canadian Journal of Statistics · 276 citations
with Claudia Czado, Kjersti Aas
Canadian Journal of Statistics
Quantifying geographical and macroeconomic effects on bank branch deposits using linear mixed models
published2011 · Journal of Statistics and Management Systems · 1 citations
with Petrosian Ng
no link

Assembled from arXiv and OpenAlex. Duplicate records for the same paper are merged, and the published version is shown where we could identify one. Corrections welcome.