Related papers: Sibuya copulas
The mean-variance portfolio model, based on the risk-return trade-off for optimal asset allocation, remains foundational in portfolio optimization. However, its reliance on restrictive assumptions about asset return distributions limits its…
The time-dependent survival probability function $S(t;x_0,q)$ of biased Sisyphus random walkers, who at each time step have a finite probability $q$ to step towards an absorbing trap at the origin and a complementary probability $1-q$ to…
Copulas have now become ubiquitous statistical tools for describing, analysing and modelling dependence between random variables. Sklar's theorem, "the fundamental theorem of copulas", makes a clear distinction between the continuous case…
In many real problems, dependence structures more general than exchangeability are required. For instance, in some settings partial exchangeability is a more reasonable assumption. For this reason, vectors of dependent Bayesian…
We propose a unified framework for equity and credit risk modeling, where the default time is a doubly stochastic random time with intensity driven by an underlying affine factor process. This approach allows for flexible interactions…
We detect the parameter sensitivities of bond pricing which is driven by a Brownian motion and a compound Poisson process as the discontinuous case in credit risk research. The strict mathematical deductions are given theoretically due to…
Extreme-value copulas arise in the asymptotic theory for componentwise maxima of independent random samples. An extreme-value copula is determined by its Pickands dependence function, which is a function on the unit simplex subject to…
Copulas are functions that describe dependence structures of random vectors, without describing their univariate marginals. In statistics, the separation is sometimes useful, the quality and/or quantity of available information on these two…
Under a mild condition we give closed-form expressions for copulas of systems that consist of maxima and of minima of subvectors of a given random vector $X$ with continuous marginals. Said expressions appear explicit in the copula of $X$…
The two main approaches in credit risk are the structural approach pioneered in Merton (1974) and the reduced-form framework proposed in Jarrow & Turnbull (1995) and in Artzner & Delbaen (1995). The goal of this article is to provide a…
In this paper, we study a continuous time structural asset value model for two correlated firms using a two-dimensional Brownian motion. We consider the situation of incomplete information, where the information set available to the market…
In this note, we develop stock option price approximations for a model which takes both the risk o default and the stochastic volatility into account. We also let the intensity of defaults be influenced by the volatility. We show that it…
The present paper introduces a structural framework to model dependent defaults, with a particular interest in their contagion.
Stochastic modelling of fatigue (and other material's deterioration), as well as of cumulative damage in risk theory, are often based on compound sums of independent random variables, where the number of addends is represented by an…
In this paper, we introduce a model that adds a non-linearity to discounting: the discounting factor may depend on the notional (i.e., discounted values are no longer linear in the notional). In the first part of the paper, we provide a…
This paper introduces an innovative method for constructing copula models capable of describing arbitrary non-monotone dependence structures. The proposed method enables the creation of such copulas in parametric form, thus allowing the…
In this paper, we analyze a L{\'e}vy model based on two popular concepts - subordination and L{\'e}vy copulas. More precisely, we consider a two-dimensional L{\'e}vy process such that each component is a time-changed (subordinated) Brownian…
Copulas allow a flexible and simultaneous modeling of complicated dependence structures together with various marginal distributions. Especially if the density function can be represented as the product of the marginal density functions and…
This paper characterizes the probability of a market failure defined as the default of two or more globally systemically important banks (G-SIBs) in a small interval of time. The default probabilities of the G-SIBs are correlated through…
Motivated by recently investigated results on dependence measures and robust risk models, this paper provides an overview of dependence properties of many well-known bivariate copula families, where the focus is on the Schur order for…