-analytical formula based on Gaussian copula assumption, presented in Černý and Witzany [2014], is further replaced by Fréchet copula (for … calculation approaches are compared in a numerical study where we find that our semi-analytical formulas (the Gaussian copula and …

distribution functions on Rd defined via a copula. Maximum likelihood estimation is based on the assumption of constant copula … suggest to test for time-varying dependence by calibrating a time-varying copula model and to re-estimate the VMEM based on …

evaluate that gap risk. Hence, we will present new techniques, namely a copula model for simultaneous defaults and a regime …

This paper proposes a new class of dynamic copula models for daily asset returns that exploits information from high … significantly improves the in-sample fit of dynamic copula models across a range of U.S. equity returns. Moreover, we find that out …

In this paper I have used copula functions to forecast the Value-at-Risk (VaR) of an equally weighted portfolio … that asymmetries show up in their unconditional distribution, as well as in their unconditional copula. The VaR forecasting …

-varying copula. Daily Naira/USD, Naira/Yuan, Naira/Pound, and Naira/Euro exchange rates from 23 December 2011 to 12 May 2020 were … utilised. We fitted eight constant and time-varying copula families using the exchange rate standardised residuals. The study … finds that the Naira exchange rate may be estimated with student t-copula, Symmetrized Joe-Clayton (SJC), or Rotated Gumbel …

Fast solution of the Gaussian copula model / Bjorn Flesaker -- Perturbed Gaussian copula / Jean-Pierre Fouque, Xianwen … -- Credit risk dependence modeling with dynamic copula : an application to CDO tranches / Daniel Totouom, Margaret Armstrong … their correlations is addressed, and new results on copula, reduced form and structural models, and the top-down approach …

Models: One Factor Gaussian Copula Model -- Normal Inverse Gaussian Factor Copula Model -- Part III: Term-Structure Models … -- Large Homogeneous Cell Approximation for Factor Copula Models -- Regime-Switching Extension of the NIG Factor Copula Model …This book considers the one-factor copula model for credit portfolios that are used for pricing synthetic CDO …

Copula modeling enables the analysis of multivariate count data that has previously required imposition of potentially … presents techniques for estimating marginal likelihoods and Bayes factors in copula models. The methodology is implemented in a …