Modeling defaults with nested Archimedean copulas

DOI10.1007/s11857-010-0123-1zbMath1232.91690OpenAlexW1983336905MaRDI QIDQ621757

Marius Hofert

Publication date: 28 January 2011

Published in: Blätter der DGVFM (Deutsche Gesellschaft für Versicherungs- und Finanzmathematik) (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11857-010-0123-1

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Measures of association (correlation, canonical correlation, etc.) (62H20) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Credit risk (91G40)

Related Items (9)

Quasi-random numbers for copula models ⋮ Nonparametric estimation of the tree structure of a nested Archimedean copula ⋮ A stochastic representation and sampling algorithm for nested Archimedean copulas ⋮ A note on upper-patched generators for Archimedean copulas ⋮ Modeling defaults with nested Archimedean copulas ⋮ Hierarchical Kendall copulas: Properties and inference ⋮ COMPATIBILITY AND ATTAINABILITY OF MATRICES OF CORRELATION-BASED MEASURES OF CONCORDANCE ⋮ Comments on: Inference in multivariate Archimedean copula models ⋮ Parametric Modeling of Sparse Random Trees Using 3D Copulas

Uses Software

• nacopula

Cites Work

• Efficiently sampling nested Archimedean copulas
• Modeling defaults with nested Archimedean copulas
• CDO pricing with nested Archimedean copulas
• Sampling nested Archimedean copulas
• The Devil is in the Tails: Actuarial Mathematics and the Subprime Mortgage Crisis
• Families of Multivariate Distributions
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