Measuring interdependence between probabilities of default (PDs) in different industry sectors of an economy plays a crucial role in financial stress testing. Thereby, regression approaches may be employed to model the impact of stressed industry sectors as covariates on other response sectors....

In this paper we focus on symmetric generalized Fairlie-Gumbel-Morgenstern (or symmetric Sarmanov) copulas which are characterized by means of so-called generator functions. In particular, we introduce a class of generator functions which is based on univariate distributions with certain...

We present a non-parametric tail dependence estimator which arises naturally from a specific regression model. Above that, this tail dependence estimator also results from a specific copula mixture. -- Upper tail dependence ; nonparametric estimation ; copula

We present a new family of copulas ("generalized mean copulas") which is positive comprehensive and allows for upper tail dependence. It includes the Spearman copula and a specific Fréchet copula as special cases. Some properties and a generalized tail dependence estimator are derived. Finally,...

Copulas represent the dependence structure of multivariate distributions in a natural way. In order to generate new copulas from given ones, several proposals found its way into statistical literature. One simple approach is to consider convex-combinations (i.e. weighted arithmetic means) of two...

Since the pioneering work of Embrechts and co-authors in 1999, copula models enjoy steadily increasing popularity in finance. Whereas copulas are well-studied in the bivariate case, the higher-dimensional case still offers several open issues and it is by far not clear how to construct copulas...

Recently, Liebscher (2006) introduced a general construction scheme of d-variate copulas which generalizes the Archimedean family. Similarly, Morillas (2005) proposed a method to obtain a variety of new copulas from a given d-copula. Both approaches coincide only for the particular subclass of...

It is well known that the arithmetic mean of two possibly different copulas forms a copula, again. More general, we focus on the weighted power mean (WPM) of two arbitrary copulas which is not necessary a copula again, as different counterexamples reveal. However, various conditions regarding...