A hierarchical copula-based world-wide valuation of sovereign risk
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Publication:2347107
DOI10.1016/j.insmatheco.2015.01.003zbMath1314.91135OpenAlexW2004568590MaRDI QIDQ2347107
Federico Falangi, Silvia Romagnoli, Enrico Bernardi
Publication date: 26 May 2015
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2015.01.003
clustering methodsloss distributionsovereign riskenlargement of the dependence structurehierarchical copula function
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Cites Work
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- An introduction to copulas.
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- Computing the volume of a high-dimensional semi-unsupervised hierarchical copula
- Statistical Inference Procedures for Bivariate Archimedean Copulas
- Hierarchies of Archimedean copulas
- Computing the Volume ofn-Dimensional Copulas
- Maximum likelihood estimation of mixed C-vines with application to exchange rates
- Understanding Relationships Using Copulas
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