framework based on copulas for modeling dependent multivariate uncertainties through the use of a decision tree. The proposed …

In this paper, we extend the debate concerning Credit Default Swap valuation to include time varying correlation and co … the data using a Generalized Linear model (GLM) incorporating copulas emerge as a more robust technique over traditional … gamma distributions, so as to isolate the level of dependence which is captured in the copula function. The results suggest …

, insbesondere der Zeitreihenanalyse liegt. Das Konzept besteht darin, sämtliche wiederkehrenden Aufgaben mit Hilfe von Java …

This thesis presents the concept of tail dependence in a financial context as one tool to measure dependence in the … estimation of the marginal distributions and the dependence between the onedimensional random variables. Therefore, copulae are … used in order to carry out the estimation of the tail dependence coefficient (TDC). Four estimators of the TDC are …

en el momento adecuado. ; We examine linear correlation and tail dependence between market neutral hedge funds and the … styles present a positive correlation across cycles. We also find that these funds present tail dependence only during bull … market portfolio conditional on the financial cycle. We document that the low correlation between these funds and the S&P 500 …

[40]. Levy copulas allow us to separate the dependence structure from the behavior ofthe marginal components. We consider … dependence structure to multivariate optionpricing. We use the new concept of Levy copula introduced in the literature by Tankov … bivariate variance gamma and bivariate CGMYmodels. To model the dependence structure between underlying assets we use the …

dependence structure among risk factors can be summarised in terms of their cross-moments. This solves the other part of the …

correlation between obligors. Copulas allow for the creation of one joint distribution using a set of independent distributions … of copulas can be used to accurately characterize the correlation between obligor defaults for pricing collateralized … is based on the correlations between the obligors using copulas. Using this probability of default, the price of a …