Remarks on composite Bernstein copula and its application to credit risk analysis

DOI10.1016/j.insmatheco.2017.08.007zbMath1404.62055OpenAlexW2751564095MaRDI QIDQ1681084

Nan Guo, Fang Wang, Jing-Ping Yang

Publication date: 23 November 2017

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2017.08.007

zbMATH Keywords

EM algorithmBaker's distributionprobabilistic structurecomposite Bernstein copulacredit risk analysis

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Credit risk (91G40)

Related Items (3)

Efficient algorithms for calculating risk measures and risk contributions in copula credit risk models ⋮ Pricing time-to-event contingent cash flows: a discrete-time survival analysis approach ⋮ Bernstein Copulas and Composite Bernstein Copulas

Uses Software

• QRM

Cites Work

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• Risk Analysis of Collateralized Debt Obligations
• COMPOSITE BERNSTEIN COPULAS
• THE BERNSTEIN COPULA AND ITS APPLICATIONS TO MODELING AND APPROXIMATIONS OF MULTIVARIATE DISTRIBUTIONS
• An Iterative Procedure for Estimation in Contingency Tables
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