Approximate Uncertainty Modeling in Risk Analysis with Vine Copulas
نویسندگان
چکیده
منابع مشابه
Approximate Uncertainty Modeling in Risk Analysis with Vine Copulas
Many applications of risk analysis require us to jointly model multiple uncertain quantities. Bayesian networks and copulas are two common approaches to modeling joint uncertainties with probability distributions. This article focuses on new methodologies for copulas by developing work of Cooke, Bedford, Kurowica, and others on vines as a way of constructing higher dimensional distributions tha...
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Vine copula models have proven themselves as a very flexible class of multivariate copula models with regard to symmetry and tail dependence for pairs of variables. The full specification of a vine model requires the choice of vine tree structure, copula families for each pair copula term and their corresponding parameters. In this survey we discuss the different approaches, both frequentist as...
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The demand for an accurate financial risk management involving larger numbers of assets is strong not only in view of the financial crisis of 2007-2009. Especially dependencies among assets have not been captured adequately. While standard multivariate copulas have added some flexibility, this flexibility is insufficient in higher dimensional applications. Vine copulas can fill this gap by bene...
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ژورنال
عنوان ژورنال: Risk Analysis
سال: 2015
ISSN: 0272-4332
DOI: 10.1111/risa.12471