The Grouped t-Copula with an Application to Credit Risk

By S. Daul, Enrico G. De Giorgi, Filip Lindskog, Alexander J. McNeil. 2003

92 citations recorded by the source corpus.

Subfields: Finance

View Paper: https://www.semanticscholar.org/paper/9650d80e620d508ff916db232c5b21ebb4a314e2

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Citations in the corpus

Modeling Dependence in High Dimensions With Factor Copulas (2015, methodology): “Xi = h (Z; "i) , i = 1; 2; :::; N Z s Fz, "i s iid F", Z??"i 8 i (15) [X1; :::; XN ] 0 X s Fx= C (G1; :::; GN ) for some function h : R2 ! R.”
Limiting dependence structures for tail events, with applications to credit derivatives (2006, background): “Furthermore, there are situations where the neglect of dependence effects may incur a (dramatic) risk underestimation (see, e.g. Bäuerle and Müller (1998) and Daul et al. (2003)).”
A review of copula models for economic time series (2012, methodology): “[40] proposed a ‘‘grouped t ’’ copula and show that this copula can be used in applications of up to 100 variables.”
Copula Methods for Forecasting Multivariate Time Series (2013, methodology): “For example, Daul et al. (2003) proposed a grouped t copula and show that this copula can be used in applications of up to 100 variables.”
Hierarchical Kendall copulas: Properties and inference (2012, methodology): “Equation (8) also motivates to speak of a “grouped Archimedean copula” similar to the grouped Student’s t copula by Daul et al. (2003). We now provide an illustrative example of a hierarchical Kendall copula with Archimedean clusters.”
The t Copula and Related Copulas (2005, background): “Daul et al. (2003) show that when ν1 6= ν2, Xi = √ W1Zi and Xj = √ W2Zj with i 6= j then the approximate identity ρτ (X1, X2) ≈ 2 π arcsin ρ holds, where ρ is the correlation between Zi and Zj . The approximation error is shown to be extremely small. Thus estimates of correlation parameters of the g”
Flexible dependence modeling of operational risk losses and its impact on total capital requirements (2014, methodology): “Another special case is the grouped Student’s t copula with fixed degrees of freedom for groups of variables by Daul et al. [2003]. Luo and Shevchenko [2010] show that the individual Student’s t copula has the following properties.”
Multivariate elliptically contoured stable distributions: theory and estimation (2013, background): “It is possible to adapt the ideas of grouping data as in Daul et al. (2003).”