On the measurement of stochastical dependence
Z. Hellwig (1969)
Applicationes Mathematicae
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Displaying similar documents to “On the order of linear dependence of real functions”
On the measurement of stochastical dependence
Existence, uniqueness and continuous dependence on the parameter of solutions of a system of differential equations with deviating argument
S. Czerwik (1977)
Annales Polonici Mathematici
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Quantifying the impact of different copulas in a generalized CreditRisk + framework An empirical study
Kevin Jakob, Matthias Fischer (2014)
Dependence Modeling
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Without any doubt, credit risk is one of the most important risk types in the classical banking industry. Consequently, banks are required by supervisory audits to allocate economic capital to cover unexpected future credit losses. Typically, the amount of economical capital is determined with a credit portfolio model, e.g. using the popular CreditRisk+ framework (1997) or one of its recent generalizations (e.g. [8] or [15]). Relying on specific distributional assumptions, the credit...
A copula test space model how to avoid the wrong copula choice
Frederik Michiels, Ann De Schepper (2008)
Kybernetika
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We introduce and discuss the test space problem as a part of the whole copula fitting process. In particular, we explain how an efficient copula test space can be constructed by taking into account information about the existing dependence, and we present a complete overview of bivariate test spaces for all possible situations. The practical use will be illustrated by means of a numerical application based on an illustrative portfolio containing the S&P 500 Composite Index, the JP...
Temperature dependence of the effective and internal stresses at the initial stages of plastic deformation of the LiF single crystals. macrodeformation and dislocation mobility data
L. S. Fomenko, H.-J. Kaufmann, S. V. Lubenets, E. I. Ostapchuk (1991)
Acta Universitatis Carolinae. Mathematica et Physica
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Editorial to the special issue on “Random Variables, Joint Distribution Functions, and Copulas”
Fabrizio Durante, Radko Mesiar, Carlo Sempi (2008)
Kybernetika
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Orbital semilinear copulas
Tarad Jwaid, Bernard de Baets, Hans de Meyer (2009)
Kybernetika
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We introduce four families of semilinear copulas (i.e. copulas that are linear in at least one coordinate of any point of the unit square) of which the diagonal and opposite diagonal sections are given functions. For each of these families, we provide necessary and sufficient conditions under which given diagonal and opposite diagonal functions can be the diagonal and opposite diagonal sections of a semilinear copula belonging to that family. We focus particular attention on the family...