Default probability estimation via pair copula constructions

DOI10.1016/j.ejor.2015.08.026zbMath1346.91106arXiv1405.1309OpenAlexW1745124983MaRDI QIDQ320930

Luciana Dalla Valle, Maria Elena De Giuli, Claudio Manelli, Claudia Tarantola

Publication date: 7 October 2016

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1405.1309

zbMATH Keywords

vinesMarkov chain Monte Carlodefault probabilitymultivariate contingent claimpair copula

Mathematics Subject Classification ID

Related Items (5)

Bivariate copula-based CUSUM charts for monitoring conditional nonlinear processes with first-order autocorrelation ⋮ Statistical arbitrage with vine copulas ⋮ Analysis of long-term natural gas contracts with vine copulas in optimization portfolio problems ⋮ Multivariate dependence analysis via tree copula models: an application to one-year forward energy contracts ⋮ How simplifying and flexible is the simplifying assumption in pair-copula constructions -- analytic answers in dimension three and a glimpse beyond

Uses Software

• JAGS
• mixtools
• CDVine
• glmmAK

Cites Work

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