Modelling dependence structure with Archimedean copulas and applications to the iTraxx CDS index

DOI10.1016/J.CAM.2010.10.047MaRDI QIDQ629513zbMATH OpenOpenAlexFDO

Authors Nader Naifar

Publication date 9 March 2011

Published in Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.cam.2010.10.047

zbMATH Keywords

Archimedean copulasdefault riskiTraxx CDS indexkurtosis of equity return distributionnonparametric estimation

Mathematics Subject Classification ID

Measures of association (correlation, canonical correlation, etc.) (62H20) Statistical methods; risk measures (91G70)

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Cites work

• A model for association in bivariate life tables and its application in epidemiological studies of familial tendency in chronic disease incidence
• An introduction to copulas. Properties and applications
• scientific article; zbMATH DE number 3152042 (Why is no real title available?)
• scientific article; zbMATH DE number 3163305 (Why is no real title available?)
• On nonparametric measures of dependence for random variables
• On the simultaneous associativity of F(x,y) and x+y-F(x,y)
• Statistical Inference Procedures for Bivariate Archimedean Copulas
• Understanding Relationships Using Copulas

Cited in

(8)

• Dependent risk models with Archimedean copulas: a computational strategy based on common mixtures and applications
• Modeling the dependence of losses of a financial portfolio using nested Archimedean copulas
• Computation and application of copula-based weighted average quantile regression
• A test for Archimedeanity in bivariate copula models
• THE IMPACT OF STOCK RETURNS VOLATILITY ON CREDIT DEFAULT SWAP RATES: A COPULA STUDY
• Portfolio credit risk with Archimedean copulas: asymptotic analysis and efficient simulation
• Enhancing the flexibility and power of adaptive seamless phase 2/3 design with copula modeling between short-term and long-term endpoints
• The development of inverse normal transformations: a review

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