Bayesian Estimation of Lévy Copulas for Multivariate Operational Risks
نویسندگان
چکیده
منابع مشابه
Multivariate Operational Risk: Dependence Modelling with Lévy Copulas
Simultaneous modelling of operational risks occurring in different event type/business line cells poses the challenge for operational risk quantification. Invoking the new concept of Lévy copulas for dependence modelling yields simple approximations of high quality for multivariate operational VAR.
متن کاملAnalysis of Dependency Structure of Default Processes Based on Bayesian Copula
One of the main problems in credit risk management is the correlated default. In large portfolios, computing the default dependencies among issuers is an essential part in quantifying the portfolio's credit. The most important problems related to credit risk management are understanding the complex dependence structure of the associated variables and lacking the data. This paper aims at introdu...
متن کاملLévy copulas: review of recent results
We review and extend the now considerable literature on Lévy copulas. First, we focus on Monte Carlo methods and present a new robust algorithm for the simulation of multidimensional Lévy processes with dependence given by a Lévy copula. Next, we review statistical estimation techniques in a parametric and a non-parametric setting. Finally, we discuss the interplay between Lévy copulas and mult...
متن کاملCharacterization of dependence of multidimensional Lévy processes using Lévy copulas
This paper suggests to use Lévy copulas to characterize the dependence among components of multidimensional Lévy processes. This concept parallels the notion of a copula on the level of Lévy measures. As for random vectors, a kind of Sklar’s theorem states that the law of a general multivariate Lévy process is obtained by combining arbitrary univariate Lévy processes with an arbitrary Lévy copu...
متن کاملA compendium of copulas
Applications of copulas are too numerous to list. Some recent applications have been: simulation of multivariate sea storms (Corbella and Stretch, 2013); dependence structure between the stock and foreign exchange markets (Wang et al., 2013); operational risk management (Arbenz, 2013); portfolio optimization in the presence of dependent financial returns with long memory (Boubaker and Sghaier, ...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
عنوان ژورنال:
دوره شماره
صفحات -
تاریخ انتشار 2010