Multivariate Joint Probability Function of Earthquake Ground Motion Prediction Equations Based on Vine Copula Approach

Default Probability Prediction with Static Merton-d-vine Copula Model

We apply standard Merton and enhanced Merton-D-Vine copula model for the measurement of credit risk on the basis of accounting and stock market data for 4 companies from Prague Stock Exchange, in the midterm horizon of 4 years. Basic Merton structural credit model is based on assumption that firm equity is European option on company assets. Consequently enhanced Merton model take in account mar...

An equation-discovery approach to earthquake-ground-motion prediction

In active seismic regions an earthquake’s peak ground acceleration (PGA) is required information when designing a building. In this study we employ the state-of-the-art, Lagramge, equation-discovery system to induce an equation that is suitable for modeling the PGA and investigate its applicability. In contrast to traditional modeling techniques the Lagramge system does not presume the structur...

Earthquake Ground Motion

Earthquake ground motion prediction using the ambient seismic field

[1] The waves generated by faulting represent the primary threat posed by most large earthquakes. The effect of complex geological structures, such as sedimentary basins, on earthquake ground motion is a source of particular concern. We show that it is possible to extract reliable phase and amplitude response that includes the effects of complex structure for the elastodynamic Green’s function ...

Assessing the VaR of a portfolio using D-vine copula based multivariate GARCH models

We develop Bayesian inference of a multivariate GARCH model where the dependence is introduced by a D-vine copula on the innovations. A D-vine copula is a special case of vine copulas which are a relatively new and very flexible concept to construct multivariate copulas. In particular it allows to model dependency between pairs of margins individually. In a simulation study and three real data ...