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Robust Bernoulli Mixture Models for Credit Portfolio Risk
Mathematical Finance, Volume 36, Issue 3, Page 528-543, July 2026.ABSTRACT This paper presents comparison results and establishes risk bounds for credit portfolios within classes of Bernoulli mixture models, assuming conditionally independent defaults that are stochastically increasing in a common risk factor. We provide simple and interpretable conditions on conditional default probabilities that imply a comparison ...
Jonathan Ansari, Eva Lütkebohmert
wiley +1 more source
Efficient correlation matching for fitting discrete multivariate distributions with arbitrary marginals and normal-copula dependence [PDF]
, 2009 A popular approach for modeling dependence in a finite-dimensional random vector X with given univariate marginals is via a normal copula that fits the rank or linear correlations for the bivariate marginals of X.
Avramidis, Athanassios N. +5 more
core +1 more source
Revista Colombiana de Estadística, 2008 La distribución Weibull bivariada es muy importante en confiabilidad y en análisis de supervivencia. La dependencia para este tipo de problemas ha venido cobrando gran importancia en años recientes.
MARIO CÉSAR JARAMILLO +3 more
doaj
A method of moments to estimate bivariate survival functions: the copula approach
Statistica, 2013 In this paper we discuss the problem on parametric and non parametric estimation of the distributions generated by the Marshall-Olkin copula. This copula comes from the Marshall-Olkin bivariate exponential distribution used in reliability analysis.
Silvia Angela Osmetti +1 more
doaj +1 more source
A test for Archimedeanity in bivariate copula models
Journal of Multivariate Analysis, 2012 18 pages, 2 ...
Axel Bücher +2 more
openaire +3 more sources
Atmospheric Science Letters, Volume 27, Issue 6, June 2026.This study investigates the multiscale evolution of forecast distributions using 1000‐member global circulation model ensembles. Initially different distributions converge to the same time‐varying equilibrium distribution, and the equilibration time scale noticeably exceeds the variance saturation time. Prior to equilibration, the forecast distribution
Man‐Yau Chan +5 more
wiley +1 more source
MATEC Web of Conferences, 2018 Synchronous-asynchronous encounter probability analysis of high-low runoff, which requires a description of the probabilistic properties of hydrological variables, is important in regional water resources management.
Jing CHEN, Shixiang GU, Tianli ZHANG
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Biometrical Journal, Volume 68, Issue 3, June 2026.ABSTRACT In this paper, we present novel methodologies that incorporate auxiliary variables for multiple hypotheses testing related to the main point of interest while effectively controlling the false discovery rate. When dealing with multiple tests concerning the primary variable of interest, researchers can use auxiliary variables to set ...
Seohwa Hwang +5 more
wiley +1 more source
Mathematics, 2020 After defining a new log-logistic model and studying its properties, some new bivariate type versions using “Farlie-Gumbel-Morgenstern Copula”, “modified Farlie-Gumbel-Morgenstern Copula”, “Clayton Copula”, and “Renyi’s entropy Copula” are derived. Then,
Mahmoud M. Mansour +6 more
doaj +1 more source
Estimating a bivariate tail: A copula based approach
Journal of Multivariate Analysis, 2013 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Di Bernardino, Elena +2 more
openaire +4 more sources