The Realized Hierarchical Archimedean Copula in Risk Modelling

Modeling Multi-population Longevity Risk with Mortality Dependence: A Lévy Subordinated Hierarchical Archimedean Copula Approach

Dynamic copula modelling for Value at Risk

This paper proposes dynamic copula and marginals functions to model the joint distribution of risk factor returns affecting portfolios profit and loss distribution over a specified holding period. By using copulas, we can separate the marginal distributions from the dependence structure and estimate portfolio Value-at-Risk, assuming for the risk factors a multivariate distribution that can be d...

Comments on: Inference in multivariate Archimedean copula models

Heterogeneous Archimedean copula and t-copula with application in credit portfolio modeling

Besides their advantage in modelling tail-dependency, the main drawback of standard non-Gaussian copula is the homogeneity in the tail dependency parameter. Several approaches to solve this are meanwhile developed, hierachical copula, the grouped t-copula and the heterogeneous t-copula as recently described by Luo and Shevchenko [1]. We will show results from a concrete implementation of a fact...

Properties of Hierarchical Archimedean Copulas

In this paper we analyse the properties of hierarchical Archimedean copulas. This class is a generalisation of the Archimedean copulas and allows for general non-exchangeable dependency structures. We show that the structure of the copula can be uniquely recovered from all bivariate margins. We derive the distribution of the copula value, which is particularly useful for tests and constructing ...