Simulating from the Copula that Generates the Maximal Probability for a Joint Default Under Given (Inhomogeneous) Marginals

DOI10.1007/978-1-4939-2104-1_32zbMath1328.62310OpenAlexW2275990674MaRDI QIDQ5261315

Publication date: 3 July 2015

Published in: Springer Proceedings in Mathematics & Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-1-4939-2104-1_32

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Characterization and structure theory for multivariate probability distributions; copulas (62H05)

Related Items (8)

A goodness-of-fit test based on Kendall's process: Durante's bivariate copula models ⋮ Shock models with dependence and asymmetric linkages ⋮ Singular components of shock model copulas ⋮ Multivariate copulas with hairpin support ⋮ On the singular components of a copula ⋮ Negative Basis Measurement: Finding the Holy Scale ⋮ A family of transformed copulas with a singular component ⋮ On distributions with fixed marginals maximizing the joint or the prior default probability, estimation, and related results

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