Modeling the dependence of losses of a financial portfolio using nested Archimedean copulas

DOI10.1155/2021/4651044zbMath1486.91077OpenAlexW3184508835MaRDI QIDQ1980361

Diakarya Barro, Wendkouni Yaméogo

Publication date: 8 September 2021

Published in: International Journal of Mathematics and Mathematical Sciences (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2021/4651044

zbMATH Keywords

Archimedean copulasrisky framework

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Exact distribution theory in statistics (62E15) Portfolio theory (91G10)

Cites Work

• An introduction to copulas.
• Bivariate distributions with given extreme value attractor
• CDO pricing with nested Archimedean copulas
• Sampling nested Archimedean copulas
• Hierarchies of Archimedean copulas
• Properties of hierarchical Archimedean copulas
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