Essays about: "Copula"
Showing result 26 - 30 of 70 essays containing the word Copula.
-
26. Scenario Creation for Stress Testing Using Copula Transformation
University essay from Umeå universitet/Institutionen för fysikAbstract : Due to turbulence in the financial market throughout history, stress testing has become a growing part of the risk analysis performed by clearing houses. Events connected to previous crises have increased the demand for prudent risk exposure, and in this thesis we investigate regulators view on how CCPs should construct risk scenarios to meet best practice for stress testing their members’ composite portfolios. READ MORE
-
27. Credit Risk and Asset Correlation Modelling for the Swedish Market: A Comparative Analysis
University essay from KTH/Matematisk statistikAbstract : In order to ensure solvency, financial institutions must evaluate their credit risk exposure and determine how much economic capital is required to hold as a cushion. This thesis compares three factor models, namely Asymptotic Single Risk Factor (“ASRF”), Inter-sector and Intra-sector factor models and evaluates how their different characteristics affect the economic capital outcomes. READ MORE
-
28. The Use of the Copula in Non-Copula Constructions in the Languages of South Asia
University essay from Uppsala universitet/Institutionen för lingvistik och filologiAbstract : In this thesis, I explore the use of copulas in non-copula constructions in the languages of South Asia to establish possible genetic and areal tendencies in the distribution. Using materials – language descriptions and data – from Grierson’s Linguistic Survey of India, I examine the phenomenon in 206 languages from four families (Munda, Dravidian, Indo-Aryan and Sino-Tibetan). READ MORE
-
29. Optimal mass transport: a viable alternative to copulas in financial risk modeling?
University essay from KTH/Matematik (Inst.)Abstract : Copulas as a description of joint probability distributions is today common when modeling financial risk. The optimal mass transport problem also describes dependence structures, although it is not well explored. This thesis explores the dependence structures of the entropy regularized optimal mass transport problem. READ MORE
-
30. Dependence structure and risk spillovers between real estate and stock markets: An application of VMD based time-varying copula approach
University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomiAbstract : In this thesis, we combine copulas with the variational mode decomposition (VMD) method to explore the dependence structure between real estate and stock market in three countries, namely China, U.S. and Australia. READ MORE