Default probability estimation via pair copula constructions
From MaRDI portal
Publication:320930
DOI10.1016/j.ejor.2015.08.026zbMath1346.91106arXiv1405.1309OpenAlexW1745124983MaRDI QIDQ320930
Luciana Dalla Valle, Maria Elena De Giuli, Claudio Manelli, Claudia Tarantola
Publication date: 7 October 2016
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1405.1309
Lua error in Module:PublicationMSCList at line 37: attempt to index local 'msc_result' (a nil value).
Related Items (5)
Bivariate copula-based CUSUM charts for monitoring conditional nonlinear processes with first-order autocorrelation ⋮ Statistical arbitrage with vine copulas ⋮ Analysis of long-term natural gas contracts with vine copulas in optimization portfolio problems ⋮ Multivariate dependence analysis via tree copula models: an application to one-year forward energy contracts ⋮ How simplifying and flexible is the simplifying assumption in pair-copula constructions -- analytic answers in dimension three and a glimpse beyond
Uses Software
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Pair-copula constructions of multiple dependence
- Selecting and estimating regular vine copulae and application to financial returns
- Likelihood Ratio Tests for Model Selection and Non-Nested Hypotheses
- The Pricing of Options and Corporate Liabilities
- Identifying future defaulters: a hierarchical Bayesian method
- The stability of survival model parameter estimates for predicting the probability of default: empirical evidence over the credit crisis
- A new approach for firm value and default probability estimation beyond Merton models
- On the simplified pair-copula construction -- simply useful or too simplistic?
- Inference for mixtures of symmetric distributions
- Generalized linear mixed model with a penalized Gaussian mixture as a random effects distribution
- Linear B-spline copulas with applications to nonparametric estimation of copulas
- An introduction to copulas. Properties and applications
- Nonparametric estimation of pair-copula constructions with the empirical pair-copula
- Vines -- a new graphical model for dependent random variables.
- Vine copulas with asymmetric tail dependence and applications to financial return data
- Comparing firm failure predictions between Logit, KMV, and ZPP models: Evidence from Taiwan's electronics industry
- Probability density decomposition for conditionally dependent random variables modeled by vines
- Bayesian nonparametric data analysis
- Calibration of the default probability model
- Semiparametric estimation of a two-component mixture model
- Density estimation and comparison with a penalized mixture approach
- A method to obtain new copulas from a given one
- On the conditional default probability in a regulated market: a structural approach
- Flexible Copula Density Estimation with Penalized Hierarchical B-splines
- Default Estimation and Expert Information
- Pair-copula constructions for non-Gaussian DAG models
- Uncertainty Analysis with High Dimensional Dependence Modelling
- The Calculation of Posterior Distributions by Data Augmentation
- Sampling from Archimedean copulas
- THE BERNSTEIN COPULA AND ITS APPLICATIONS TO MODELING AND APPROXIMATIONS OF MULTIVARIATE DISTRIBUTIONS
- Bayesian Density Estimation and Inference Using Mixtures
- Bayes Factors
- Default probability estimation in small samples—with an application to sovereign bonds
- On the conditional default probability in a regulated market with jump risk
This page was built for publication: Default probability estimation via pair copula constructions
