Bayesian copulae distributions, with application to operational risk management

DOI10.1007/S11009-007-9067-XzbMath1293.62016OpenAlexW2049835439MaRDI QIDQ398812

Luciana Dalla Valle

Publication date: 15 August 2014

Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11009-007-9067-x

zbMATH Keywords

Markov chain Monte Carloexpected shortfallvalue at riskoperational riskBayesian normal copulaBayesian Student's \(t\) copulaloss distribution approach

Mathematics Subject Classification ID

Bayesian problems; characterization of Bayes procedures (62C10) Monte Carlo methods (65C05) Probability distributions: general theory (60E05)

Related Items (6)

Bayesian copulae distributions, with application to operational risk management -- some comments ⋮ Comparing point and interval estimates in the bivariate \(t\)-copula model with application to financial data ⋮ Bayesian nonparametric inference for a multivariate copula function ⋮ Copula conditional tail expectation for multivariate financial risks ⋮ Bayesian model selection for D-vine pair-copula constructions ⋮ Implementing loss distribution approach for operational risk

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