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Copulas and bivariate Risk measures : an application to hedge funds
Bedoui, Rihab; Ben Dbabis, Makram - Université Paris-Dauphine (Paris IX) - 2009
With hedgefunds, managers develop risk management models that mainly aim to play on the effect of de correlation.In order to achieve this goal,companies use the correlation coefficient as an indicator for measuring dependencies existing between(i)the various hedge funds strategies and share...
Persistent link: https://www.econbiz.de/10011074324
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Stress-Test Exercises and the Pricing of Very Long-Term Bonds
Dubecq, Simon - Université Paris-Dauphine (Paris IX) - 2013
In the first part of this thesis, we introduce a new methodology for stress-test exercises. Our approach allows to consider richer stress-test exercises, which assess the impact of a modification of the whole distribution of asset prices’ factors, rather than focusing as the common practices...
Persistent link: https://www.econbiz.de/10011074681
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Comparing the accuracy of multivariate density forecasts in selected regions of the copula support
Diks, Cees; Panchenko, Valentyn; Sokolinskiy, Oleg; van … - In: Journal of Economic Dynamics and Control 48 (2014) C, pp. 79-94
forecasts with different predictive copulas, focusing on specific parts of the copula support. The tests are framed in the … yields on government bonds of the G7 countries we obtain insights into why the Student-t and Clayton mixture copula … outperforms the other copulas considered; mixing in the Clayton copula with the t-copula is of particular importance to obtain …
Persistent link: https://www.econbiz.de/10011077509
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Orderings of coherent systems with randomized dependent components
Navarro, Jorge; Pellerey, Franco; Di Crescenzo, Antonio - In: European Journal of Operational Research 240 (2015) 1, pp. 127-139
dependent components by using basic mathematical tools (and copula theory). …
Persistent link: https://www.econbiz.de/10011097674
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A dynamic default dependence model
Cecchetti, Sara; Nappo, Giovanna - Banca d'Italia - 2012
We develop a dynamic multivariate default model for a portfolio of credit-risky assets in which default times are modelled as random variables with possibly different marginal distributions, and L�vy subordinators are used to model the dependence among default times. In particular, we...
Persistent link: https://www.econbiz.de/10011099644
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Interdependence of oil prices and stock market indices: A copula approach
Sukcharoen, Kunlapath; Zohrabyan, Tatevik; Leatham, David; … - In: Energy Economics 44 (2014) C, pp. 331-339
series are converted into local currency to account for possible exchange rate effects. The method of copula is used to model …
Persistent link: https://www.econbiz.de/10011100102
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The copula based on multivariate t-distribution with vector of degrees of freedom
Balaev, Alexey - In: Applied Econometrics 33 (2014) 1, pp. 90-110
In this paper we construct a copula based on the multivariate t-distribution with vector degrees of freedom parameter …, which possesses significant advantages over the copula based on the standard multivariate t-distribution. We derive the … standardized version of this copula, which is simpler from the computational viewpoint. As the application of the standardized t-copula …
Persistent link: https://www.econbiz.de/10011106274
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An Empirical Analysis of Competitive Nonlinear Pricing
Aryal, Gaurab - College of Business and Economics, Australian National … - 2013
not the joint density. I use the classic Cramér-von Mises and Vuong’s test to select one parametric family of copula to … Pages Directories in Central Pennsylvania I find that: (a) Joe copula characterizes the joint density of adverse selection …
Persistent link: https://www.econbiz.de/10011107152
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On the approximation of copulas via shuffles of Min
Durante, Fabrizio; Sánchez, Juan Fernández - In: Statistics & Probability Letters 82 (2012) 10, pp. 1761-1767
We study a multivariate extension of shuffles of Min that has a probabilistic interpretation in terms of mutually completely dependent process. The closure properties of the class of such copulas under different types of convergence is investigated.
Persistent link: https://www.econbiz.de/10011039791
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How close are pairwise and mutual independence?
Nelsen, Roger B.; Úbeda-Flores, Manuel - In: Statistics & Probability Letters 82 (2012) 10, pp. 1823-1828
Using the technique of finding bounds on sets of copulas with particular properties, we compare the distribution of an n-dimensional (n≥3) vector of continuous pairwise independent random variables to the distribution of a similar vector of mutually independent random variables. We examine the...
Persistent link: https://www.econbiz.de/10011039920