On the diversity score: a copula approach

DOI10.1080/02331888.2016.1259804zbMath1369.62284OpenAlexW2562671367MaRDI QIDQ5276178

Jean-Luc Prigent, Abdallah Ben Saida

Publication date: 14 July 2017

Published in: Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02331888.2016.1259804

zbMATH Keywords

copuladiversificationbinomial expansion techniquelower tail dependencediversity score

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Credit risk (91G40)

Uses Software

• CopulaModel

Cites Work

• Unnamed Item
• Modeling of contagious credit events and risk analysis of credit portfolios
• An empirical central limit theorem with applications to copulas under weak dependence
• Mathematical methods for financial markets.
• Default and information
• Multivariate concordance
• Option Pricing with a General Marked Point Process
• CREDIT CONTAGION: PRICING CROSS-COUNTRY RISK IN BRADY DEBT MARKETS
• Multivariate point processes: predictable projection, Radon-Nikodym derivatives, representation of martingales
• Comparison of hazard rates for dependent random variables
• Dependence measures for extreme value analyses

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