The concept of intermediate tail dependence is useful if one wants to quantify the degree of positive dependence in the tails when there is no strong evidence of presence of the usual tail dependence. We first review existing studies on intermediate tail dependence, and then we report new results to supplement the review. Intermediate tail dependence for elliptical, extreme value and Archimedea...

This article examines the ability of time-varying Gaussian and Student t copulas to accurately predict the probability of joint extreme co-movements in stock index returns. Using a sample of more than 20 years of daily return observations of the Eurostoxx 50 and Dow Jones Industrial 30 stock indices, Gaussian and Student t copulas are calibrated daily on a rolling window of the 250 most recent ...

The objective of this paper is to investigate the effect of copulas for constructing the bivariate distribution of shear strength parameters on system reliability of geotechnical structures. First, the bivariate distribution of shear strength parameters is constructed using copulas. Second, the implementation procedure of system reliability analysis using direct Monte Carlo simulation (MCS) is ...

This paper features an application of Regular Vine copulas which are a novel and recently developed statistical and mathematical tool which can be applied in the assessment of composite financial risk. Copula-based dependence modelling is a popular tool in financial applications, but is usually applied to pairs of securities. By contrast, Vine copulas provide greater flexibility and permit the ...

The use of probabilistic models based on copulas in EDAs (Estimation of Distribution Algorithms) is currently an active area of research. In this context, the copulaedas package for R intends to provide a platform where EDAs based on copulas can be implemented and studied. The package offers complete implementations of various EDAs based on copulas and vines, a group of well-known benchmark pro...

The multivariate modeling of default risk is a crucial aspect of the pricing of credit derivative products referencing a portfolio of underlying assets, and the evaluation of Value at Risk of such portfolios. This paper proposes a model for the joint dynamics of credit ratings of several firms. Namely, individual credit ratings are modeled by univariate continuous time Markov chain, while their...

Copulas are useful functions for modeling multivariate distributions through their univariate marginal and dependence structures. They have a wide range of applications in all fields science that deal with data. While there is plethora copulas, those based on trigonometric functions, especially dimensions greater than two, received much less attention. are, however, interest because the propert...

Decision support systems are widely implemented to effectively utilize the tremendous amount of data generated by information systems throughout an organization. In one common implementation, the goal is to correctly classify a customer so that appropriate action can take place. This may take the form of a customized purchase incentive given to increase the probability that a transaction is com...

Copulas are a general tool for assessing the dependence structure of random variables. Important properties as well as a number of examples are discussed, including Archimedean copulas and the Marshall-Olkin copula. As measures of the dependence we consider linear correlation, rank correlation, the coefficients of tail dependence and association. Copulas are a tool for modeling and capturing th...