Simulating from the copula that generates the maximal probability for a joint default under given (Inhomogeneous) marginals

DOI10.1007/978-1-4939-2104-1_32MaRDI QIDQ5261315zbMATH OpenOpenAlexFDO

Authors Jan-Frederik Mai, Matthias Scherer

Publication date 3 July 2015

Published in Springer Proceedings in Mathematics & Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-1-4939-2104-1_32

Mathematics Subject Classification ID

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

Recommendations

• Applications of copula theory in credit risk
• On the singular components of a copula
• On distributions with fixed marginals maximizing the joint or the prior default probability, estimation, and related results
• A remark on credit risk models and copula
• Modeling defaults with nested Archimedean copulas

Cited in

(10)

• Negative basis measurement: finding the holy scale
• Singular components of shock model copulas
• On the singular components of a copula
• Shock models with dependence and asymmetric linkages
• A goodness-of-fit test based on Kendall's process: Durante's bivariate copula models
• On distributions with fixed marginals maximizing the joint or the prior default probability, estimation, and related results
• A family of transformed copulas with a singular component
• Generating unfavourable VaR scenarios under Solvency II with patchwork copulas
• Multivariate copulas with hairpin support
• Joint survival probability via truncated invariant copula

This page was built for publication: Simulating from the copula that generates the maximal probability for a joint default under given (Inhomogeneous) marginals

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5261315)