Default probability estimation via pair copula constructions
From MaRDI portal
Publication:320930
DOI10.1016/J.EJOR.2015.08.026zbMATH Open1346.91106arXiv1405.1309OpenAlexW1745124983MaRDI QIDQ320930FDOQ320930
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)
Abstract: In this paper we present a novel approach for firm default probability estimation. The methodology is based on multivariate contingent claim analysis and pair copula constructions. For each considered firm, balance sheet data are used to assess the asset value, and to compute its default probability. The asset pricing function is expressed via a pair copula construction, and it is approximated via Monte Carlo simulations. The methodology is illustrated through an application to the analysis of both operative and defaulted firms.
Full work available at URL: https://arxiv.org/abs/1405.1309
Nonparametric estimation (62G05) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Applications of statistics to actuarial sciences and financial mathematics (62P05) Production theory, theory of the firm (91B38)
Cites Work
- Title not available (Why is that?)
- Title not available (Why is that?)
- Title not available (Why is that?)
- Pair-copula constructions of multiple dependence
- Selecting and estimating regular vine copulae and application to financial returns
- The pricing of options and corporate liabilities
- Finite mixture models
- Bayesian Density Estimation and Inference Using Mixtures
- Likelihood Ratio Tests for Model Selection and Non-Nested Hypotheses
- An introduction to copulas. Properties and applications
- Vine copulas with asymmetric tail dependence and applications to financial return data
- Probability density decomposition for conditionally dependent random variables modeled by vines
- Bayesian nonparametric data analysis
- Density estimation and comparison with a penalized mixture approach
- Uncertainty Analysis with High Dimensional Dependence Modelling
- The Calculation of Posterior Distributions by Data Augmentation
- Nonparametric estimation of pair-copula constructions with the empirical pair-copula
- Vines -- a new graphical model for dependent random variables.
- Flexible copula density estimation with penalized hierarchical B-splines
- Sampling from Archimedean copulas
- THE BERNSTEIN COPULA AND ITS APPLICATIONS TO MODELING AND APPROXIMATIONS OF MULTIVARIATE DISTRIBUTIONS
- Bayes Factors
- On the simplified pair-copula construction -- simply useful or too simplistic?
- Semiparametric estimation of a two-component mixture model
- Inference for mixtures of symmetric distributions
- Linear B-spline copulas with applications to nonparametric estimation of copulas
- Identifying future defaulters: a hierarchical Bayesian method
- Generalized linear mixed model with a penalized Gaussian mixture as a random effects distribution
- Comparing firm failure predictions between Logit, KMV, and ZPP models: Evidence from Taiwan's electronics industry
- Calibration of the default probability model
- A method to obtain new copulas from a given one
- On the conditional default probability in a regulated market: a structural approach
- Default Estimation and Expert Information
- The stability of survival model parameter estimates for predicting the probability of default: empirical evidence over the credit crisis
- Pair-copula constructions for non-Gaussian DAG models
- Default probability estimation in small samples—with an application to sovereign bonds
- On the conditional default probability in a regulated market with jump risk
- A new approach for firm value and default probability estimation beyond Merton models
Cited In (7)
- Statistical arbitrage with vine copulas
- 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
- Vine copula modeling dependence among cyber risks: a dangerous regulatory paradox
- Analysis of long-term natural gas contracts with vine copulas in optimization portfolio problems
- Bivariate copula-based CUSUM charts for monitoring conditional nonlinear processes with first-order autocorrelation
- An improved approach to evaluate default probabilities and default correlations with consistency
Uses Software
This page was built for publication: Default probability estimation via pair copula constructions
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q320930)
