Results 111 to 120 of about 4,426 (211)
Multivariate Copula Models at Work: Outperforming the desert island copula? [PDF]
Since the pioneering work of Embrechts and co-authors in 1999, copula models enjoy steadily increasing popularity in finance. Whereas copulas are well-studied in the bivariate case, the higher-dimensional case still offers several open issues and it is ...
Fischer, Matthias J. +3 more
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Modelling portfolio credit risk is one of the crucial challenges faced by financial services industry in the last few years. We propose the valuation model of collateralized debt obligations (CDO) based on copula functions with up to three parameters ...
Barbara Choroś +2 more
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On the Ratio-Type Family of Copulas
MathematicsInvestigating dependence structures across various fields holds paramount importance. Consequently, the creation of new copula families plays a crucial role in developing more flexible stochastic models that address the limitations of traditional and ...
Farid El Ktaibi +2 more
doaj +1 more source
Mehmet Akif Ersoy Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, 2016 In this paper, copula approach was applied to determine the dependence structure the two indices (PPI and CPI). Ali ? Mikhail ? Haq, Clayton, Frank and Gumbel ? Hougaard from Archimedean family were used.
Ayça Büyükyılmaz
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Estimating the risk-adjusted capital is an affair in the tails [PDF]
(Re)insurance companies need to model their liabilities' portfolio to compute the risk-adjusted capital (RAC) needed to support their business. The RAC depends on both the distribution and the dependence functions that are applied among the risks in a ...
Canestraro, Davide, Dacorogna, Michel
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Semiparametric Estimation in Models of First-Price, Sealed-Bid Auctions with Affiliation [PDF]
Within the affiliated private-values paradigm, we develop a tractable empirical model of equilibrium behaviour at first-price, sealed-bid auctions. The model is non-parametrically identified, but the rate of convergence in estimation is slow when the ...
Hubbard, Timothy P. +2 more
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MODELLING RANDOM COUPLES USING COPULAS MODELADO DE PAREJAS ALEATORIAS USANDO CÓPULAS
Revista Colombiana de Estadística, 2009 Copulas have become a useful tool for the multivariate modelling in both stochastics and statistics. In this article, fundamental properties that allow the characterization of the dependence structure of families of the bivariate distributions defined by
Escarela Gabriel, Hernández Angélica
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Modelado de parejas aleatorias usando cópulas Modelling Random Couples Using Copulas
Revista Colombiana de Estadística, 2009 Las cópulas se han convertido en una herramienta útil para el modelado multivariado tanto estocástico como estadístico. En este artículo se revisan propiedades fundamentales de las cópulas que permitan caracterizar la estructura de dependencia de ...
GABRIEL ESCARELA, ANGÉLICA HERNÁNDEZ
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Bivariate Aging Properties under Archimedean Dependence Structures [PDF]
, 2010 Mulero, J., Pellerey, Franco
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Copula-based multivariate analysis of hydrological drought over jiabharali sub-basin of Brahmaputra River, India. [PDF]
Sci RepChakma B +7 more
europepmc +1 more source