Selection of Copulas for Risk Management∗
نویسندگان
چکیده
Department of Mathematics & Statistics, University of North Carolina at Charlotte, Charlotte, NC 28223, USA, E-mails: [email protected] (Z. Cai) and [email protected] (X. Wang) The Wang Yanan Institute for Studies in Economics, Xiamen University, China Department of Economics, Yale University, New Haven, CT 06520, USA, E-mail: [email protected] Department of Economics, Vanderbilt University, Nashville, TN 37240, USA, E-mail: [email protected]
منابع مشابه
Analysis of Dependency Structure of Default Processes Based on Bayesian Copula
One of the main problems in credit risk management is the correlated default. In large portfolios, computing the default dependencies among issuers is an essential part in quantifying the portfolio's credit. The most important problems related to credit risk management are understanding the complex dependence structure of the associated variables and lacking the data. This paper aims at introdu...
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One of the main issues of risk management is the aggregation of individual risks. A powerful concept to aggregate the risks — the copula function — has been introduced in ...nance by Embrechts, McNeil, and Straumann [1999,2000]. In their papers, the authors clarify the essential concepts of dependence and correlation and certainly will greatly in‡uence the risk management industry. The goal of ...
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One of the main issues of risk management is the aggregation of individual risks. A powerful concept to aggregate the risks — the copula function — has been introduced in finance by Embrechts, McNeil, and Straumann [1999,2000]. In their papers, the authors clarify the essential concepts of dependence and correlation and certainly will greatly influence the risk management industry. The goal of ...
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Applications of copulas are too numerous to list. Some recent applications have been: simulation of multivariate sea storms (Corbella and Stretch, 2013); dependence structure between the stock and foreign exchange markets (Wang et al., 2013); operational risk management (Arbenz, 2013); portfolio optimization in the presence of dependent financial returns with long memory (Boubaker and Sghaier, ...
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Although the copula literature has many instances of bivariate copulas, once more than two variates are correl ated, the choice of copulas often comes down to selection of the degrees-of-freedom parameter in the t-copula. In search for a wider selection of multivariate copulas we review a generalization of the t-copula and some copulas defined by Harry Joe. Generalizing the t-copula gives more ...
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