✦ LIBER ✦

The Use of Archimedean Copulas to Model Portfolio Allocations

✍ Scribed by David A. Hennessy; Harvey E. Lapan

Book ID: 108550499
Publisher: John Wiley and Sons
Year: 2002
Tongue: English
Weight: 144 KB
Volume: 12
Category: Article
ISSN: 0960-1627
DOI: 10.1111/1467-9965.00136

No coin nor oath required. For personal study only.

📜 SIMILAR VOLUMES

A note on allocation of portfolio shares

A note on allocation of portfolio shares of random assets with Archimedean copula

✍ Li, Xiaohu; You, Yinping 📂 Article 📅 2012 🏛 Springer US 🌐 English ⚖ 529 KB

On the nonidentifiability property of Ar

On the nonidentifiability property of Archimedean copula models under dependent censoring

✍ Antai Wang 📂 Article 📅 2012 🏛 Elsevier Science 🌐 English ⚖ 197 KB

Modelling dependence structure with Arch

Modelling dependence structure with Archimedean copulas and applications to the iTraxx CDS index

✍ Nader Naifar 📂 Article 📅 2011 🏛 Elsevier Science 🌐 English ⚖ 797 KB

In this paper we model the dependence structure between credit default swap (CDS) and jump risk using Archimedean copulas. The paper models and estimates the different relationships that can exist in different ranges of behaviour. It studies the bivariate distributions of CDS index spreads and the k

How to improve the fit of Archimedean co

How to improve the fit of Archimedean copulas by means of transforms

✍ Frederik Michiels; Ann De Schepper 📂 Article 📅 2010 🏛 Springer-Verlag 🌐 English ⚖ 264 KB

Some properties of the Kendall distribut

Some properties of the Kendall distribution in bivariate Archimedean copula models under censoring

✍ Antai Wang; David Oakes 📂 Article 📅 2008 🏛 Elsevier Science 🌐 English ⚖ 439 KB

Using Cat Models for Optimal Risk Alloca

Using Cat Models for Optimal Risk Allocation of P&C Liability Portfolios

✍ Zeng, Lixin 📂 Article 📅 2001 🏛 Emerald Group Publishing Limited 🌐 English ⚖ 587 KB