Modeling defaults with nested Archimedean copulas

DOI10.1007/S11857-010-0123-1MaRDI QIDQ621757zbMATH OpenOpenAlexFDO

Authors 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

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

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Cites work

• scientific article; zbMATH DE number 3954145 (Why is no real title available?)
• scientific article; zbMATH DE number 1134711 (Why is no real title available?)
• CDO pricing with nested Archimedean copulas
• Efficiently sampling nested Archimedean copulas
• Families of Multivariate Distributions
• Modeling defaults with nested Archimedean copulas
• Sampling nested Archimedean copulas
• The devil is in the tails: actuarial mathematics and the subprime mortgage crisis

Cited in

(17)

• Quasi-random numbers for copula models
• Nonparametric estimation of the tree structure of a nested Archimedean copula
• Dependent risk models with Archimedean copulas: a computational strategy based on common mixtures and applications
• Portfolio credit risk with Archimedean copulas: asymptotic analysis and efficient simulation
• CDO pricing with nested Archimedean copulas
• Hierarchical Kendall copulas: properties and inference
• COMPATIBILITY AND ATTAINABILITY OF MATRICES OF CORRELATION-BASED MEASURES OF CONCORDANCE
• Stochastic increase in CDS and CDO portfolio premiums
• Modelling dependence structure with Archimedean copulas and applications to the iTraxx CDS index
• Modeling defaults with nested Archimedean copulas
• Simulating from the copula that generates the maximal probability for a joint default under given (Inhomogeneous) marginals
• Comments on: Inference in multivariate Archimedean copula models
• Default models based on scale mixtures of Marshall-Olkin copulas: properties and applications
• A note on upper-patched generators for Archimedean copulas
• Parametric modeling of sparse random trees using 3D copulas
• Modeling the dependence of losses of a financial portfolio using nested Archimedean copulas
• A stochastic representation and sampling algorithm for nested Archimedean copulas

Describes a project that uses

Uses Software

• nacopula

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