Displaying similar documents to “On the order of linear dependence of real functions”

Quantifying the impact of different copulas in a generalized CreditRisk + framework An empirical study

Kevin Jakob, Matthias Fischer (2014)

Dependence Modeling

Similarity:

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

Similarity:

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...