elaborate how our model naturally leads to a Gaussian copula approach for describing dependence between both risk types. In … particular, we suggest estimators for the correlation parameter of the Gaussian copula that can be used for general credit …

probability measure within the copula framework. Such reformulation is demonstrated using the multivariate generalized beta of the …

played an important role in my life, and he contributed to my studies devoted to copula modelling. This small memoir reports …

This paper proposes a novel copula-based local Kendall's tau framework to uncover richer nonlinear local dependence … dependence. Closed form solutions of local Kendall's tau in terms of copula link local dependence with their global dependence … the copula-based local dependence framework to Spearman's rho. Using this framework, we draw the local Kendall's tau …

quantization. Five copulas are estimated and simulated on these pairs of returns, the Gaussian, t-copula, Clayton, Gumbel and Frank … is MBG, t-copula, followed by the Gaussian, Frank, Gumbel and Clayton copulas …

further study that relies on the density and cumulative probability functions of product of n random variables and the theory …

Risk Management, Finance, Economics, Science, and many other areas. This paper develops the theory on both density and …₂ by using copulas to capture the structures between X₁ and X₂. We then extend the theory by … copulas. Thereafter, we develop the theory on the median for the ratios of both Y and Z on two normal random variables X<sub>1 …