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All Blog Posts Tagged 'COPULA' (8)

risk transfer, insurance layers

The financial crisis – risk transfer, insurance layers and (no?) reinsurance culture

Michael Fackler  freelance actuary Munich, Germany



Abstract



The financial crisis of 2007 has triggered various debates, ranging from the stability of the banking system to subtle technical issues regarding the Gaussian and other copulas. All these debates are important, and it might be good to start even a further one: Credit derivatives have much in common with…

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Added by John A Morrison on March 7, 2012 at 9:00pm — No Comments

Copula Dependence Structure on Stock Market with Application to Risk

Copula Dependence Structure on Stock Market with Application to Risk

Shaoxuan Guan

Department of Mathematical Statistics

CHALMERS UNIVERSITY OF…

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Added by John A Morrison on January 28, 2012 at 12:00am — No Comments

Solvency II / SST and Modeling of Risk Aggregation

Malte Obbel Forsberg



Abstract



SST and Solvency II, while sharing many similarities, differ in a few important areas. In this paper we will explore some standard copulas used for aggregating loss distributions per risk type. Standard practice in the insurance industry is to use the Gaussian copula but there are reasons to believe that this copula is not really suitable in some aspects. The choice of copula has a large impact on the resulting solvency ratio, unfortunately…

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Added by John A Morrison on December 6, 2010 at 12:00am — No Comments

STOCHASTIC SIMULATION WITH COPULAS IN R

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Added by John A Morrison on September 6, 2010 at 9:00am — No Comments

An Econometric Study Of Vine Copulas

D. Guégan‡and P.A. Maugis
Abstract
We present a new recursive algorithm to construct vine copulas based on an underlying tree structure. This new structure is interesting to compute multivariate distributions for dependent random variables. We proove the asymptotic normality of the vine copula parameter estimator and show that all vine copula parameter estimators have comparable variance.
Both results are crucial to motivate any econometrical work…
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Added by John A Morrison on June 21, 2010 at 11:30pm — No Comments

Implementation of the Copula - Interesting work from Italy and wider Europe

Optimization With Tail-Dependence and Tail Risk: A Copula Based Approach For Strategic Asset Allocation



Francesco Paolo Natale, Department of Economics and Management, Università Milano-Bicocca, Italy



http://www.efmaefm.org/0EFMAMEETINGS/EFMA%20ANNUAL%20MEETINGS/2007-Vienna/Papers/0131.pdf



This author is now developing his techniques to estimate economic…

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Added by John A Morrison on June 10, 2009 at 1:00am — No Comments

The Copula AGAIN - Forecasting VaR and Expected Shortfall using Dynamical Systems

Forecasting VaR and Expected Shortfall using Dynamical Systems A Risk Management Strategy



Cyril Caillault; Chief Investor Officer, Quantitative Strategies,

Fixed Income and Currencies, Fortis Investments,



Dominique Guégan, PSE – CES-MSE - Université Paris 1 – Panthéon – Sorbonne



Abstract

Using non-parametric and parametric models, we show that the bivariate distribution of an Asian portfolio is not stable along all the period under study. We suggest…

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Added by John A Morrison on April 27, 2009 at 12:00pm — No Comments

CDO Pricing with Copulae (Crucial Methodological Paper)

THIS QUITE SIMPLY IS A CRUCIAL PAPER IN THE METHODOLOGY OF CREDIT ASSET RISK PRICING



CDO Pricing with Copulae



Barbara Choros

Wolfgang Härdle

Ostap Okhrin



ABSTRACT



Modeling the portfolio credit risk is one of the crucial issues of the last years in the financial problems. We propose the valuation model of Collateralized Debt Obligations based on a one- and two-parameter copula and default intensities estimated from market data. The…

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Added by John A Morrison on April 19, 2009 at 11:30pm — No Comments

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