Related papers: Sibuya copulas
We consider the intensity-based approach for the modeling of default times of one or more companies. In this approach the default times are defined as the jump times of a Cox process, which is a Poisson process conditional on the…
The non-gaussianity of processes observed in financial markets and relatively good performance of gaussian models can be reconciled by replacing the Brownian motion with Levy processes whose Levy densities decay as exp(-lambda|x|) or…
The utility-based pricing of defaultable bonds in the case of stochastic intensity models of default risk is discussed. The Hamilton-Jacobi- Bellman (HJB) equations for the value functions is derived. A finite difference method is used to…
We build a general model for pricing defaultable claims. In addition to the usual absence of arbitrage assumption, we assume that one defaultable asset (at least) looses value when the default occurs. We prove that under this assumption, in…
This paper presents comparison results and establishes risk bounds for credit portfolios within classes of Bernoulli mixture models, assuming conditionally independent defaults that are stochastically increasing with a common risk factor.…
For the analysis of clustered survival data, two different types of models that take the association into account, are commonly used: frailty models and copula models. Frailty models assume that conditional on a frailty term for each…
This paper introduces a novel stochastic model for credit spreads. The stochastic approach leverages the diffusion of default intensities via a CIR++ model and is formulated within a risk-neutral probability space. Our research primarily…
Copulas are essential tools in statistics and probability theory, enabling the study of the dependence structure between random variables independently of their marginal distributions. Among the various types of copulas, Ratio-Type Copulas…
Time-to-event semi-competing risk endpoints may be correlated when both events are occurring on the same individual. These events and the association between them may also be influenced by individual characteristics. In this paper, we…
Implicit copulas are the most common copula choice for modeling dependence in high dimensions. This broad class of copulas is introduced and surveyed, including elliptical copulas, skew $t$ copulas, factor copulas, time series copulas and…
In conditional copula models, the copula parameter is deterministically linked to a covariate via the calibration function. The latter is of central interest for inference and is usually estimated nonparametrically. However, when a…
We propose a new class of extreme-value copulas which are extreme-value limits of conditional normal models. Conditional normal models are generalizations of conditional independence models, where the dependence among observed variables is…
In the paper [Hainaut, D. and Colwell, D.B., {\rm A structural model for credit risk with switching processes and synchronous jumps}, The European Journal of Finance 22(11) (2016): 1040-1062], the authors exploit a synchronous-jump…
Dependence strucuture estimation is one of the important problems in machine learning domain and has many applications in different scientific areas. In this paper, a theoretical framework for such estimation based on copula and copula…
Weak convergence of the empirical copula process is shown to hold under the assumption that the first-order partial derivatives of the copula exist and are continuous on certain subsets of the unit hypercube. The assumption is…
We investigate in multidimensional compound Poisson processes (CPP) the relation between the dependence structure of the jump distribution and the dependence structure of the respective components of the CPP itself. For this purpose the…
Prior elicitation methods for Bayesian analyses transfigure prior information into quantifiable prior distributions. Recently, methods that leverage copulas have been proposed to accommodate more flexible dependence structures when…
Under the International Financial Reporting Standards (IFRS) 9, credit losses ought to be recognised timeously and accurately. This requirement belies a certain degree of dynamicity when estimating the constituent parts of a credit loss…
Analysing dependent risks is an important task for insurance companies. A dependency is reflected in the fact that information about one random variable provides information about the likely distribution of values of another random…
Thanks to their ability to capture complex dependence structures, copulas are frequently used to glue random variables into a joint model with arbitrary marginal distributions. More recently, they have been applied to solve statistical…