Displaying similar documents to “Lévy copulae for financial returns”

Branching processes and models of epidemics

R. Bartoszyński

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CONTEXTS0. Introduction.......................................................................................................................................................................... 5Part IMODELS OF EPIDEMICS FOli INFECTIOUS DISEASES1. Informal description of the phenomenon of epidemics and constructionof mathematical models...........................................................................................................................................................

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...

Dependent defaults and losses with factor copula models

Damien Ackerer, Thibault Vatter (2017)

Dependence Modeling

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We present a class of flexible and tractable static factor models for the term structure of joint default probabilities, the factor copula models. These high-dimensional models remain parsimonious with paircopula constructions, and nest many standard models as special cases. The loss distribution of a portfolio of contingent claims can be exactly and efficiently computed when individual losses are discretely supported on a finite grid. Numerical examples study the key features affecting...

A two-component copula with links to insurance

S. Ismail, G. Yu, G. Reinert, T. Maynard (2017)

Dependence Modeling

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This paper presents a new copula to model dependencies between insurance entities, by considering how insurance entities are affected by both macro and micro factors. The model used to build the copula assumes that the insurance losses of two companies or lines of business are related through a random common loss factor which is then multiplied by an individual random company factor to get the total loss amounts. The new two-component copula is not Archimedean and it extends the toolkit...

A generalized bivariate lifetime distribution based on parallel-series structures

Vahideh Mohtashami-Borzadaran, Mohammad Amini, Jafar Ahmadi (2019)

Kybernetika

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In this paper, a generalized bivariate lifetime distribution is introduced. This new model is constructed based on a dependent model consisting of two parallel-series systems which have a random number of parallel subsystems with fixed components connected in series. The probability that one system fails before the other one is measured by using competing risks. Using the extreme-value copulas, the dependence structure of the proposed model is studied. Kendall's tau, Spearman's rho and...

Inference for copula modeling of discrete data: a cautionary tale and some facts

Olivier P. Faugeras (2017)

Dependence Modeling

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In this note, we elucidate some of the mathematical, statistical and epistemological issues involved in using copulas to model discrete data. We contrast the possible use of (nonparametric) copula methods versus the problematic use of parametric copula models. For the latter, we stress, among other issues, the possibility of obtaining impossible models, arising from model misspecification or unidentifiability of the copula parameter.

Models for option pricing based on empirical characteristic function of returns

Karol Binkowski, Andrzej Kozek (2010)

Banach Center Publications

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The standard Merton-Black-Scholes formula for European Option pricing serves only as approximation to real values of options. More advanced extensions include applications of Lévy processes and are based on characteristic functions, which are more convenient to use than the corresponding probability distributions. We found one of the Lewis (2001) general theoretical formulae for option pricing based on characteristic functions particularly suitable for a statistical approach to option...

Generalized CreditRisk+ model and applications

Jakub Szotek (2015)

Annales Universitatis Paedagogicae Cracoviensis. Studia Mathematica

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In the paper we give a mathematical overview of the CreditRisk+ model as a tool used for calculating credit risk in a portfolio of debts and suggest some other applications of the same method of analysis.