The measure for expert dependence proposed by Jouini and Clemen (clemen) is implemented for expert judgement data gathered at the T.U. Delft. Experts show less dependence than might have been supposed, though more sensitive measures might reveal more. Clemen’s copula for aggregation is implemented and performance is compared with performance-based combinations for two illustrative cases.

This study aims to investigate the effect of climate change on probability drought occurrence in central Iran. To this end, a new index called Multivariate Standardized Drought Index (MSDI) was developed, which is composed Precipitation Evapotranspiration (SPEI) and Soil Moisture (SSI). The required data included precipitation, temperature (from CRU TS), soil moisture ESA CCA SM product) monthl...

Any multivariate distribution can be uniquely decomposed into marginal (1-point) distributions, and a function called the copula, which contains all of the information on correlations between the distributions. The copula provides an important new methodology for analyzing the density field in large-scale structure. We derive the empirical 2-point copula for the evolved dark matter density fiel...

We discuss the general optimization problem of choosing a copula with minimum entropy relative to a specified copula and a computationally intensive procedure to solve its dual. These techniques are applied to constructing an empirical copula for CDO tranche pricing. The empirical copula is chosen to be as close as possible to the industry standard Gaussian copula while ensuring a close fit to ...

In this paper we use dynamic copulas method to price a CDO. We apply GOF test and binary segmentation procedure to detect the change of copula function. According to the result of the change point, we divide the time series into nine stages. In each stage, we use the best copula function to describe the default correlation. Our empirical results show that in different time period, the best copu...

copula functions are powerful tools that describe dependence structure of multi- dimension random variables and are considered as one of the newest tools for risk management. one application of copula functions in risk management is calculating value at risk that can assert is the most widely used risk measures in financial institutions. in this article which primary goal is estimating more acc...