Multivariate Fréchet copulas and conditional value-at-risk.
Hürlimann, Werner (2004)
International Journal of Mathematics and Mathematical Sciences
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Hürlimann, Werner (2004)
International Journal of Mathematics and Mathematical Sciences
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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...
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...
Abderrahmane Chakak, Layachi Imlahi (2001)
RACSAM
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Sea (X, X) un vector aleatorio con una función de distribución F. La transformación integral de la probabilidad (pit) es la variable aleatoria unidimensional P = F(X, X). La expresion de su función de distribución, y un algoritmo de simulación en términos de la función cuantil, dada por Chakak et al [2000], cuando la distribución es absolumente continua, son extendidas a distribuciones que pueden tener singularidades. La estimación de máxima verosimilitud del parámetro de dependencia...
Fabrizio Durante, Radko Mesiar, Carlo Sempi (2008)
Kybernetika
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Fabrizio Durante, Giovanni Puccetti, Matthias Scherer, Steven Vanduffel (2017)
Dependence Modeling
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