Hierarchical Archimedean Copulas

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Hierarchical Archimedean Copulas

Author : Jan Górecki
Publisher : Springer Nature
Page : 128 pages
File Size : 44,7 Mb
Release : 2024-06-20
Category : Electronic
ISBN : 9783031563379

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Hierarchical Archimedean Copulas by Jan Górecki Pdf

Hierarchical Archimedean Copulas

Author : Jan Górecki,Ostap Okhrin
Publisher : Springer
Page : 0 pages
File Size : 52,8 Mb
Release : 2024-05-24
Category : Mathematics
ISBN : 3031563360

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Hierarchical Archimedean Copulas by Jan Górecki,Ostap Okhrin Pdf

This book offers a thorough understanding of Hierarchical Archimedean Copulas (HACs) and their practical applications. It covers the basics of copulas, explores the Archimedean family, and delves into the specifics of HACs, including their fundamental properties. The text also addresses sampling algorithms, HAC parameter estimation, and structure, and highlights temporal models with applications in finance and economics. The final chapter introduces R, MATLAB, and Octave toolboxes for copula modeling, enabling students, researchers, data scientists, and practitioners to model complex dependence structures and make well-informed decisions across various domains.

Sampling Nested Archimedean Copulas

Author : Jan Marius Hofert
Publisher : Sudwestdeutscher Verlag Fur Hochschulschriften AG
Page : 200 pages
File Size : 43,8 Mb
Release : 2010
Category : Electronic
ISBN : 3838116569

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Sampling Nested Archimedean Copulas by Jan Marius Hofert Pdf

Copulas are distribution functions with standard uniform univariate margins. A famous class of copulas consists of Archimedean copulas, which are constructed by a one-dimensional function called the generator of the Archimedean copula. In large-dimensional applications the symmetry of Archimedean copulas is often considered to be a drawback. By nesting Archimedean copulas at different levels, one obtains the more general and flexible class of nested Archimedean copulas. The present work explores these copulas. In particular, efficient sampling algorithms, especially suited for large dimensions, are presented. From the practitioner's point of view, fast sampling algorithms are required for large-scale simulation studies. Efficiently sampling nested Archimedean copulas requires sampling from certain distributions which are related to the generators of the Archimedean copulas involved via Laplace-Stieltjes transforms. The work at hand presents efficient strategies for sampling these distributions. As an application, a pricing model for collateralized debt obligations is developed which precisely captures the given hierarchical structure of such a credit-risky portfolio.

A Hierarchical Archimedean Copula for Portfolio Credit Risk Modelling

Author : Natalia Puzanova
Publisher : Unknown
Page : 40 pages
File Size : 42,9 Mb
Release : 2016
Category : Electronic
ISBN : OCLC:1306010016

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A Hierarchical Archimedean Copula for Portfolio Credit Risk Modelling by Natalia Puzanova Pdf

I introduce a novel, hierarchical model of tail dependent asset returns which can be particularly useful for measuring portfolio credit risk within the structural framework. To allow for a stronger dependence within sub-portfolios than between them, I utilise the concept of nested Archimedean copulas, but modify the nesting procedure to ensure the compatibility of copula generators by construction. This makes sampling straightforward. Moreover, I provide details on a particular specification based on a gamma mixture of powers. This model allows for lower tail dependence, resulting in a more conservative credit risk assessment than a comparable Gaussian model. I illustrate the extent of model risk when calculating VaR or Expected Shortfall for a credit portfolio.

Dependence Modeling

Author : Harry Joe,Dorota Kurowicka
Publisher : World Scientific
Page : 370 pages
File Size : 48,6 Mb
Release : 2011
Category : Business & Economics
ISBN : 9789814299886

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Dependence Modeling by Harry Joe,Dorota Kurowicka Pdf

1. Introduction : Dependence modeling / D. Kurowicka -- 2. Multivariate copulae / M. Fischer -- 3. Vines arise / R.M. Cooke, H. Joe and K. Aas -- 4. Sampling count variables with specified Pearson correlation : A comparison between a naive and a C-vine sampling approach / V. Erhardt and C. Czado -- 5. Micro correlations and tail dependence / R.M. Cooke, C. Kousky and H. Joe -- 6. The Copula information criterion and Its implications for the maximum pseudo-likelihood estimator / S. Gronneberg -- 7. Dependence comparisons of vine copulae with four or more variables / H. Joe -- 8. Tail dependence in vine copulae / H. Joe -- 9. Counting vines / O. Morales-Napoles -- 10. Regular vines : Generation algorithm and number of equivalence classes / H. Joe, R.M. Cooke and D. Kurowicka -- 11. Optimal truncation of vines / D. Kurowicka -- 12. Bayesian inference for D-vines : Estimation and model selection / C. Czado and A. Min -- 13. Analysis of Australian electricity loads using joint Bayesian inference of D-vines with autoregressive margins / C. Czado, F. Gartner and A. Min -- 14. Non-parametric Bayesian belief nets versus vines / A. Hanea -- 15. Modeling dependence between financial returns using pair-copula constructions / K. Aas and D. Berg -- 16. Dynamic D-vine model / A. Heinen and A. Valdesogo -- 17. Summary and future directions / D. Kurowicka

Probability for Statisticians

Author : Galen R. Shorack
Publisher : Springer
Page : 510 pages
File Size : 45,9 Mb
Release : 2017-09-21
Category : Mathematics
ISBN : 9783319522074

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Probability for Statisticians by Galen R. Shorack Pdf

The choice of examples used in this text clearly illustrate its use for a one-year graduate course. The material to be presented in the classroom constitutes a little more than half the text, while the rest of the text provides background, offers different routes that could be pursued in the classroom, as well as additional material that is appropriate for self-study. Of particular interest is a presentation of the major central limit theorems via Steins method either prior to or alternative to a characteristic function presentation. Additionally, there is considerable emphasis placed on the quantile function as well as the distribution function, with both the bootstrap and trimming presented. The section on martingales covers censored data martingales.

Dependence Modeling with Copulas

Author : Harry Joe
Publisher : CRC Press
Page : 479 pages
File Size : 40,7 Mb
Release : 2014-06-26
Category : Mathematics
ISBN : 9781466583238

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Dependence Modeling with Copulas by Harry Joe Pdf

Dependence Modeling with Copulas covers the substantial advances that have taken place in the field during the last 15 years, including vine copula modeling of high-dimensional data. Vine copula models are constructed from a sequence of bivariate copulas. The book develops generalizations of vine copula models, including common and structured facto

Copula Theory and Its Applications

Author : Piotr Jaworski,Fabrizio Durante,Wolfgang Karl Härdle,Tomasz Rychlik
Publisher : Springer Science & Business Media
Page : 327 pages
File Size : 44,6 Mb
Release : 2010-07-16
Category : Mathematics
ISBN : 9783642124655

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Copula Theory and Its Applications by Piotr Jaworski,Fabrizio Durante,Wolfgang Karl Härdle,Tomasz Rychlik Pdf

Copulas are mathematical objects that fully capture the dependence structure among random variables and hence offer great flexibility in building multivariate stochastic models. Since their introduction in the early 50's, copulas have gained considerable popularity in several fields of applied mathematics, such as finance, insurance and reliability theory. Today, they represent a well-recognized tool for market and credit models, aggregation of risks, portfolio selection, etc. This book is divided into two main parts: Part I - "Surveys" contains 11 chapters that provide an up-to-date account of essential aspects of copula models. Part II - "Contributions" collects the extended versions of 6 talks selected from papers presented at the workshop in Warsaw.

Simulating Copulas

Author : Jan-Frederik Mai,Matthias Scherer
Publisher : World Scientific
Page : 310 pages
File Size : 44,6 Mb
Release : 2012
Category : Mathematics
ISBN : 9781848168749

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Simulating Copulas by Jan-Frederik Mai,Matthias Scherer Pdf

This book provides the reader with a background on simulating copulas and multivariate distributions in general. It unifies the scattered literature on the simulation of various families of copulas (elliptical, Archimedean, Marshall-Olkin type, etc.) as well as on different construction principles (factor models, pair-copula construction, etc.). The book is self-contained and unified in presentation and can be used as a textbook for advanced undergraduate or graduate students with a firm background in stochastics. Alongside the theoretical foundation, ready-to-implement algorithms and many examples make this book a valuable tool for anyone who is applying the methodology.Errata(s)Errata (128 KB)

Simulating Copulas: Stochastic Models, Sampling Algorithms, And Applications (Second Edition)

Author : Scherer Matthias,Mai Jan-frederik
Publisher : #N/A
Page : 356 pages
File Size : 47,9 Mb
Release : 2017-06-07
Category : Mathematics
ISBN : 9789813149267

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Simulating Copulas: Stochastic Models, Sampling Algorithms, And Applications (Second Edition) by Scherer Matthias,Mai Jan-frederik Pdf

The book provides the background on simulating copulas and multivariate distributions in general. It unifies the scattered literature on the simulation of various families of copulas (elliptical, Archimedean, Marshall-Olkin type, etc.) as well as on different construction principles (factor models, pair-copula construction, etc.). The book is self-contained and unified in presentation and can be used as a textbook for graduate and advanced undergraduate students with a firm background in stochastics. Besides the theoretical foundation, ready-to-implement algorithms and many examples make the book a valuable tool for anyone who is applying the methodology.

Copulas and Their Applications in Water Resources Engineering

Author : Lan Zhang,V. P. Singh
Publisher : Cambridge University Press
Page : 621 pages
File Size : 43,8 Mb
Release : 2019-01-10
Category : Mathematics
ISBN : 9781108474252

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Copulas and Their Applications in Water Resources Engineering by Lan Zhang,V. P. Singh Pdf

Illustration of copula theory with detailed real-world case study examples in the fields of hydrology and water resources engineering.

Copulas and Dependence Models with Applications

Author : Manuel Úbeda Flores,Enrique de Amo Artero,Fabrizio Durante,Juan Fernández Sánchez
Publisher : Springer
Page : 258 pages
File Size : 54,9 Mb
Release : 2017-10-13
Category : Mathematics
ISBN : 9783319642215

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Copulas and Dependence Models with Applications by Manuel Úbeda Flores,Enrique de Amo Artero,Fabrizio Durante,Juan Fernández Sánchez Pdf

This book presents contributions and review articles on the theory of copulas and their applications. The authoritative and refereed contributions review the latest findings in the area with emphasis on “classical” topics like distributions with fixed marginals, measures of association, construction of copulas with given additional information, etc. The book celebrates the 75th birthday of Professor Roger B. Nelsen and his outstanding contribution to the development of copula theory. Most of the book’s contributions were presented at the conference “Copulas and Their Applications” held in his honor in Almería, Spain, July 3-5, 2017. The chapter 'When Gumbel met Galambos' is published open access under a CC BY 4.0 license.

Financial Engineering with Copulas Explained

Author : J. Mai,M. Scherer
Publisher : Springer
Page : 150 pages
File Size : 45,7 Mb
Release : 2014-10-02
Category : Business & Economics
ISBN : 9781137346315

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Financial Engineering with Copulas Explained by J. Mai,M. Scherer Pdf

This is a succinct guide to the application and modelling of dependence models or copulas in the financial markets. First applied to credit risk modelling, copulas are now widely used across a range of derivatives transactions, asset pricing techniques and risk models and are a core part of the financial engineer's toolkit.

Counting Statistics for Dependent Random Events

Author : Enrico Bernardi,Silvia Romagnoli
Publisher : Springer Nature
Page : 206 pages
File Size : 40,5 Mb
Release : 2021-03-22
Category : Business & Economics
ISBN : 9783030642501

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Counting Statistics for Dependent Random Events by Enrico Bernardi,Silvia Romagnoli Pdf

This book on counting statistics presents a novel copula-based approach to counting dependent random events. It combines clustering, combinatorics-based algorithms and dependence structure in order to tackle and simplify complex problems, without disregarding the hierarchy of or interconnections between the relevant variables. These problems typically arise in real-world applications and computations involving big data in finance, insurance and banking, where experts are confronted with counting variables in monitoring random events. In this new approach, combinatorial distributions of random events are the core element. In order to deal with the high-dimensional features of the problem, the combinatorial techniques are used together with a clustering approach, where groups of variables sharing common characteristics and similarities are identified and the dependence structure within groups is taken into account. The original problems can then be modeled using new classes of copulas, referred to here as clusterized copulas, which are essentially based on preliminary groupings of variables depending on suitable characteristics and hierarchical aspects. The book includes examples and real-world data applications, with a special focus on financial applications, where the new algorithms’ performance is compared to alternative approaches and further analyzed. Given its scope, the book will be of interest to master students, PhD students and researchers whose work involves or can benefit from the innovative methodologies put forward here. It will also stimulate the empirical use of new approaches among professionals and practitioners in finance, insurance and banking.

Applied Quantitative Finance

Author : Wolfgang Karl Härdle,Cathy Yi-Hsuan Chen,Ludger Overbeck
Publisher : Springer
Page : 372 pages
File Size : 53,9 Mb
Release : 2017-08-02
Category : Business & Economics
ISBN : 9783662544860

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Applied Quantitative Finance by Wolfgang Karl Härdle,Cathy Yi-Hsuan Chen,Ludger Overbeck Pdf

This volume provides practical solutions and introduces recent theoretical developments in risk management, pricing of credit derivatives, quantification of volatility and copula modeling. This third edition is devoted to modern risk analysis based on quantitative methods and textual analytics to meet the current challenges in banking and finance. It includes 14 new contributions and presents a comprehensive, state-of-the-art treatment of cutting-edge methods and topics, such as collateralized debt obligations, the high-frequency analysis of market liquidity, and realized volatility. The book is divided into three parts: Part 1 revisits important market risk issues, while Part 2 introduces novel concepts in credit risk and its management along with updated quantitative methods. The third part discusses the dynamics of risk management and includes risk analysis of energy markets and for cryptocurrencies. Digital assets, such as blockchain-based currencies, have become popular b ut are theoretically challenging when based on conventional methods. Among others, it introduces a modern text-mining method called dynamic topic modeling in detail and applies it to the message board of Bitcoins. The unique synthesis of theory and practice supported by computational tools is reflected not only in the selection of topics, but also in the fine balance of scientific contributions on practical implementation and theoretical concepts. This link between theory and practice offers theoreticians insights into considerations of applicability and, vice versa, provides practitioners convenient access to new techniques in quantitative finance. Hence the book will appeal both to researchers, including master and PhD students, and practitioners, such as financial engineers. The results presented in the book are fully reproducible and all quantlets needed for calculations are provided on an accompanying website. The Quantlet platform quantlet.de, quantlet.com, quantlet.org is an integrated QuantNet environment consisting of different types of statistics-related documents and program codes. Its goal is to promote reproducibility and offer a platform for sharing validated knowledge native to the social web. QuantNet and the corresponding Data-Driven Documents-based visualization allows readers to reproduce the tables, pictures and calculations inside this Springer book.