Stochastic increase in CDS and CDO portfolio premiums

DOI10.17654/DM028010049MaRDI QIDQ5076160zbMATH OpenFDO

Authors Vini Yves Bernadin Loyara, Remi Guillaume Bagré, Frédéric Béré, Diakarya Barro

Publication date 16 May 2022

Published in Advances and Applications in Discrete Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.17654/DM028010049

zbMATH Keywords

Archimedean copulasCDO pricingCDS portfoliodefault premiumsexpected premiumsnested Archimedean copulasportfolio risk

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Directional data; spatial statistics (62H11) Inference from spatial processes (62M30) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites work

• An introduction to copulas. Properties and applications
• Coherent measures of risk
• Estimation of the value at risk using the stochastic approach of Taylor formula
• scientific article; zbMATH DE number 1134711 (Why is no real title available?)
• Multivariate risks modeling for financial portfolio management and climate applications
• Some classes of multivariate risk measures
• Tails of multivariate Archimedean copulas
• Value-at-risk modeling with conditional copulas in Euclidean space framework

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