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Showing 1 to 20 of 63 for “"Copulas"”.
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Risk aggregation and capital allocation using copulas
… lines, but also for the organization as a whole. Copulas are a popular technique to model joint multi-dimensional problems, as they can be applied as a mechanism that models relationships among multivariate distributions. Firstly, a review of the Basel Capital Accord will be provided. Secondly, …
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Copulas for credit derivative pricing and other applications.
Copulas are multivariate probability distributions, as well as functions which link marginal distributions to their joint distribution. These functions have been used extensively in finance and more recently in other disciplines, for example hydrology and genetics. This study has two components, …
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Modelling dependance in collateralied debt obligations with copulas
… to model them. We give a basic introduction to copulas and how they are used to model the depedence between single name credit derivatives. We then investigate various features of Gaussian and t copula dependence using numerical results obtained from Monte-Carlo simulation.
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Copulas for High Dimensions: Models, Estimation, Inference, and Applications
… consists of four chapters that concern topics on copulas for high dimensions. Chapter 1 proposes a new general model for high dimension joint distributions of asset returns that utilizes high frequency data and copulas. The dependence between returns is decomposed into linear and nonlinear …
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Estimation of value-at-risk and expected shortfall using copulas
Includes bibliographical references (leaves 76-77).
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Modeling and Analysis of Non-Linear Dependencies using Copulas, with Applications to Machine Learning
… modeling and the machine learning communities. Copulas are stochastic models that capture the full dependence structure between random variables and allow flexible modeling of multivariate joint distributions. Elidan was the first to recognize this disconnect, and introduced copula based models …
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Some Recent Advances in Non- and Semiparametric Bayesian Modeling with Copulas, Mixtures, and Latent Variables
<p>This thesis develops flexible non- and semiparametric Bayesian models for mixed continuous, ordered and unordered categorical data. These methods have a range of possible applications; the applications considered in this thesis are drawn primarily from the social sciences, where multivariate, …
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Copula-Based Multivariate Hydrologic Frequency Analysis
… and ascertaining the applicability of different copulas for combinations of various hydrological variables is currently an area of active research. Since there exists a variety of copulas capable of characterizing a broad range of dependence, the selection of appropriate copulas for different …
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A class of bivariate copula mappings /
… one particular mapping in the set of bivariate copulas, which allows flexible construction of new copulas and families of copulas. In particular, we suggest mapping which depends on a univariate function. We provide necessary and sufficient conditions on this univariate function so that output …
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Dvimačių kopulų transformacijos /
… one particular mapping in the set of bivariate copulas, which allows flexible construction of new copulas and families of copulas. In particular, we suggest mapping which depends on a univariate function. We provide necessary and sufficient conditions on this univariate function so that output …
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Pairs trading: a copula approach
… alternative approach to pairs trading by use of copulas. This dissertation aims to investigate if copulas can improve the profitability of pairs trading. To achieve this aim, results of pairs trading by use of copulas are compared against those of cointegration and distance methods.
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Applications of Copula Theory and Regime Switching in Finance
… and becoming popular over the last decade. Copulas provide greater flexibility by allowing the dependence structure to be modelled separately from marginal distributions. Furthermore, a rich class of higher dimensional copulas with various types of asymmetric tail dependence can be …
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Risk management and solvency: mathematical methods in theory and practice
… established dependence structures as copulas, linear correlation, rank correlation, and dependencies in the tail are explicitly examined. Furthermore, a new approach which essentially consists in an approximation of the underlying copula by certain grid type copulas is introduced, for …
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Advances in Copula Estimation and Distribution Theory
… features distributional results related to copulas. Four distinct copula density estimation methodologies, including Bernstein’s polynomial approximation, are proposed and criteria for the selection of their tuning parameters are provided. These four approaches were found to produce similar …
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Drought predictions: applications in Australia.
… means of modelling their dependence structure. Copulas are multivariate uniform distributions, which allow the joint behaviour of variables to be modelled independently from their marginal distributions. This research extends the application of copulas by investigating the effect of climate …
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Cross-generational linguistic variation in the Canberra Vietnamese heritage language community: A corpus-centred investigation
… alternates in Vietnamese: subjects, objects, and copulas. In doing so, I move away from the bilingual portion of CanVEC to examine the monolingual heritage Vietnamese subset directly. Results show that Vietnamese null subjects vary significantly across generations, while null objects and copulas …
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