over the life of the CDO. This is known as the implied copula model. In this paper we develop a parametric version of the … implied copula model and show how it can be used for valuing bespoke CDOs. A two-parameter version of the model is a simple … and appealing alternative to the Gaussian copula model. One of the parameters in this model is used to match spreads. The …

In this article, we provide an alternative evidence of asymmetric information in automobile insurance based on a copula … model. We use the Frank’s copula to jointly model the type of policy coverage chosen and the number of accidents, with the … in the economics of insurance literature, or both. We calibrated our copula model using a one-year cross …

events. Our model is developed to obtain the joint distribution of volume durations and corresponding returns with a copula …

-discovery functions of the market. We propose an ARMA-GARCH R-vine copula approach that can flexibly model high-dimensional multivariate …

In this paper, we use the skewed t copula with a DCC (Dynamic Conditional Correlation) model to capture the time … emerging markets can provide a good contribution to diversifying tail risk. Meanwhile, compared with the normal copula and t … copula, the skewed t copula can produce superior out-of-sample portfolio performance in minimizing expected shortfall …

We investigate a new family of distributionally robust optimization problem under marginal and copula ambiguity with … marginal distributions and their copula are close -- in terms of the Wasserstein distance -- to their nominal counterparts. We …-of-sample tests, which show the superior performance of the portfolios under marginal and copula ambiguity over the equally weighted …

(whereby all subset of the processes have an identical marginal Lévy copula). In reality, losses are not always associated in … approach which enables the development of such models. Inspired by ideas and techniques from the distributional copula …

demonstrate the statistical significance of dynamic asymmetric copula models in modelling and forecasting market risk. First, we … and asymmetric dependence between characteristic-sorted portfolios. Second, we consider a dynamic asymmetric copula model … by combining the generalized hyperbolic skewed t copula with the generalized autoregressive score (GAS) model to capture …