In this paper we analyse the properties of hierarchical Archimedean copulas. This classis a generalisation of the Archimedean copulas and allows for general non-exchangeable dependencystructures. We show that the structure of the copula can be uniquely recovered from all bivariate margins.We...

Systemic weather risk is a major obstacle for the formation of private (non-subsidized) crop insurance. This paper explores the possibility of spatial diversication ofinsurance by estimating the joint occurrence of unfavorable weather conditions in dierentlocations. For that purpose copula...

Normal distribution of the residuals is the traditional assumption in the classicalmultivariate time series models. Nevertheless it is not very often consistent with the real data.Copulae allows for an extension of the classical time series models to nonelliptically distributedresiduals. In this...

Controllability of longer-term interest rates requires that the persis-tence of their deviations from the central bank's policy rate (i.e. thepolicy spreads) remains suffciently low. This paper applies fractionalintegration techniques to assess the persistence of policy spreads ofeuro area money...

Modeling the portfolio credit risk is one of the crucial issues of the last yearsin the financial problems. We propose the valuation model of Collateralized DebtObligations based on a one- and two-parameter copula and default intensities estimatedfrom market data. The presented method is used to...

Risk management and the thorough understanding of the relations betweenfinancial markets and the standard theory of macroeconomics have always been among the topics most addressed by researchers, both financial mathematicians and economists. This work aims at explaining investors behavior from a...

Graphical data representation is an important tool for model selection in bankruptcy analysis since the problem is highly non-linear and its numericalrepresentation is much less transparent. In classical rating models a convenientrepresentation of ratings in a closed form is possible reducing...