Results 31 to 40 of about 1,979 (100)

Estimación del riesgo en un portafolio de activos

Apuntes del CENES, 2013
Este trabajo introduce el uso de la teoría de valor extremo (EVT) y cópulas para la estimación del valor en riesgo (VaR). Se considera como aplicación a un portafolio compuesto por tres activos representativos del mercado colombiano.
Luis Guillermo Díaz, Diana A Maldonado, Sandra Milena Salinas   +2 more
doaj  

Innovative Methods of Constructing Strict and Strong Fuzzy Negations, Fuzzy Implications and New Classes of Copulas

Mathematics
This paper presents new classes of strong fuzzy negations, fuzzy implications and Copulas. It begins by presenting two theorems with function classes involving the construction of strong fuzzy negations.
Panagiotis Georgiou Mangenakis, Basil Papadopoulos   +1 more
doaj   +1 more source

CONSTRUCCIÓN DE LA DISTRIBUCIÓN DE PÉRDIDAS Y EL PROBLEMA DE AGREGACIÓN DE RIESGO OPERATIVO BAJO MODELOS LDA: UNA REVISIÓN

Revista Ingenierías Universidad de Medellín, 2013
Este artículo revisa la literatura más reciente en cuanto a la obtención de la distribución de pérdidas para riesgo operativo cuando se emplea el modelo de distribución de pérdidas agregadas (LDA, por sus siglas en inglés), y dependencia entre las líneas
Andrés Mora Valencia
doaj  

On comprehensive families of copulas involving the three basic copulas and transformations thereof

Dependence Modeling
Comprehensive families of copulas including the three basic copulas (at least as limit cases) are useful tools to model countermonotonicity, independence, and comonotonicity of pairs of random variables on the same probability space. In this contribution,
Saminger-Platz Susanne, Kolesárová Anna, Šeliga Adam, Mesiar Radko, Klement Erich Peter   +4 more
doaj   +1 more source

A Compendium of Copulas

Statistica, 2018
Copulas are used to specify dependence between two or more random variables. The last few years have seen a surge of developments of parametric models for copulas.
Saralees Nadarajah, Emmanuel Afuecheta, Stephen Chan   +2 more
doaj   +1 more source

MEDICIÓN DE CONTAGIO E INTERDEPENDENCIA FINANCIEROS MEDIANTE CÓPULAS Y EVENTOS EXTREMOS EN LOS PAÍSES DE LA AMÉRICA LATINA

El Trimestre Económico, 2013
En este artículo se mide la interrelación y trasmisión de choques que existe entre los mercados financieros de la América Latina. El indicador más utilizado ha sido el coeficiente de correlación; el principal problema de éste es que no es robusto a la ...
Miguel Chirinos G.
doaj  

Bounds for Trivariate Copulas with Given Bivariate Marginals

Journal of Inequalities and Applications, 2009
We determine two constructions that, starting with two bivariate copulas, give rise to new bivariate and trivariate copulas, respectively. These constructions are used to determine pointwise upper and lower bounds for the class of all trivariate copulas ...
doaj   +1 more source

Vine copulas structures modeling on Russian stock market

Discrete and Continuous Models and Applied Computational Science, 2019
Pair-copula constructions have proven to be a useful tool in statistical modeling, particularly in the field of finance. The copula-based approach can be used to choose a model that describes the dependence structure and marginal behaviour of the data in
Eugeny Yu. Shchetinin
doaj   +1 more source

On Unit-Burr Distorted Copulas

AppliedMath
This paper introduces a new unit-Burr distortion function constructed via a transformation of the Burr random variable. The distortion can be applied to existing base copulas to create new copula families.
Fadal Abdullah A. Aldhufairi, Jungsywan H. Sepanski   +1 more
doaj   +1 more source

Modeling Dependence with C- and D-Vine Copulas: The R Package CDVine

Journal of Statistical Software, 2013
Flexible multivariate distributions are needed in many areas. The popular multivariate Gaussian distribution is however very restrictive and cannot account for features like asymmetry and heavy tails.
Eike Christian Brechmann, Ulf Schepsmeier   +1 more
doaj