Search Results - subject:"Copula functions"

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On the Dependence Structure of Sequence Alignment Scores Calculated with Multiple Scoring Matrices

Frommlet, Florian; Futschik, Andreas - In: Statistical Applications in Genetics and Molecular Biology 3 (2007) 1, pp. 24-24

propose to use logistic copula functions to model explicitly the dependence structure of scores obtained using different …

Persistent link: https://www.econbiz.de/10005459169

Copula-Based Default Dependence Modelling: Where Do We Stand?

Luciano, Elisa - International Centre for Economic Research (ICER) - 2007

Copula functions have proven to be extremely useful in describing joint default and survival probabilities in credit …

Persistent link: https://www.econbiz.de/10004972516

Copulas and Dependence models in Credit Risk: Diffusions versus Jumps

Luciano, Elisa - International Centre for Economic Research (ICER) - 2007

The most common approach for default dependence modelling is at present copula functions. Within this framework, the …

Persistent link: https://www.econbiz.de/10004980484

ECONOMIC CAPITAL MANAGEMENT FOR INSURANCE COMPANIES USING CONDITIONAL VALUE AT RISK AND A COPULA APPROACH

Bisignani, Rossella; Masala, Giovanni; Micocci, Marco - In: Economia, Societa', e Istituzioni XVIII (2006) 3

permits to take into consideration real correlations of the several CoIs. Thanks to copula functions, we are able to generate …

Persistent link: https://www.econbiz.de/10005756567

An Inflated Multivariate Integer Count Hurdle Model: An Application to Bid and Ask Quote Dynamics

Bien, Katarzyna; Nolte, Ingmar; Pohlmeier, Winfried - Zentrum für Finanzen und Ökonometrie, Fachbereich … - 2007

In this paper we develop a model for the conditional inflated multivariate density of integer count variables with domain Zn. Our modelling framework is based on a copula approach and can be used for a broad set of applications where the primary characteristics of the data are: (i) discrete...

Persistent link: https://www.econbiz.de/10005146735

Wieweit tragen rationale Modelle in der Finanzmarktforschung?

Franke, Günter; Weber, Thomas - Zentrum für Finanzen und Ökonometrie, Fachbereich … - 2006

In diesem Beitrag wird untersucht, inwieweit Erkenntnisse des Behavioral Finance erforderlich sind, um einerseits das kundenbezogene Wertpapiergeschäft von Banken und andererseits die Preisbildung auf Kapitalmärkten zu untersuchen. Es wird dargelegt, daß das kundenbezogene Wertpapiergeschäft...

Persistent link: https://www.econbiz.de/10005562288

A Multivariate Integer Count Hurdle Model: Theory and Application to Exchange Rate Dynamics

Bien, Katarzyna; Nolte, Ingmar; Pohlmeier, Winfried - Zentrum für Finanzen und Ökonometrie, Fachbereich … - 2006

Zn. Applying the concept of copula functions, we allow for a general form of dependence between the marginal processes …

Persistent link: https://www.econbiz.de/10005146730

Estimating Liquidity Using Information on the Multivariate Trading Process

Bien, Katarzyna; Nolte, Ingmar; Pohlmeier, Winfried - Zentrum für Finanzen und Ökonometrie, Fachbereich … - 2006

depths. We account for the contemporaneous relationship between these trading marks by exploiting the concept of copula … functions. Thereby we show how to model truncations of the multivariate density in an easy way. A Metropolized …

Persistent link: https://www.econbiz.de/10005357886

Using Copulas to Construct Bivariate Foreign Exchange Distributions with an Application to the Sterling Exchange Rate Index

Schleicher, Christoph; Hurd, Matthew; Salmon, Mark - Society for Computational Economics - SCE - 2005

sterling effective exchange rate index (ERI). Our results indicate that simple parametric copula functions, such as the …

Persistent link: https://www.econbiz.de/10005343054

A note on the large homogeneous portfolio approximation with the Student-t copula

Schloegl, Lutz; Dominic O’Kane - In: Finance and Stochastics 9 (2005) 4, pp. 577-584

We extend the Large Homogeneous Portfolio (LHP) approximation to the case of the Student-t copula, and provide analytic formulae for the density and the cdf of the portfolio loss distribution. We compare the Value-at-Risk implied by the Student-t copula to that obtained using the Gaussian as...

Persistent link: https://www.econbiz.de/10005166852