Modeling defaults with nested Archimedean copulas

DOI10.1007/s11857-010-0123-1zbMath1232.91690MaRDI QIDQ621757

Marius Hofert

Publication date: 28 January 2011

Published in: Blätter der DGVFM (Deutsche Gesellschaft für Versicherungs- und Finanzmathematik) (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11857-010-0123-1

Mathematics Subject Classification ID

62P05: Applications of statistics to actuarial sciences and financial mathematics

62H20: Measures of association (correlation, canonical correlation, etc.)

62H05: Characterization and structure theory for multivariate probability distributions; copulas

91G40: Credit risk

Related Items

A note on upper-patched generators for Archimedean copulas, COMPATIBILITY AND ATTAINABILITY OF MATRICES OF CORRELATION-BASED MEASURES OF CONCORDANCE, Parametric Modeling of Sparse Random Trees Using 3D Copulas, A stochastic representation and sampling algorithm for nested Archimedean copulas, Hierarchical Kendall copulas: Properties and inference, Comments on: Inference in multivariate Archimedean copula models, Modeling defaults with nested Archimedean copulas, Nonparametric estimation of the tree structure of a nested Archimedean copula, Quasi-random numbers for copula models

Uses Software

• nacopula

Cites Work

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• Efficiently sampling nested Archimedean copulas
• Modeling defaults with nested Archimedean copulas
• CDO pricing with nested Archimedean copulas
• Sampling nested Archimedean copulas
• The Devil is in the Tails: Actuarial Mathematics and the Subprime Mortgage Crisis
• Families of Multivariate Distributions