系统风险的级联效应建模：Freund copula的性质

IF 0.6 Q4 STATISTICS & PROBABILITY

Dependence Modeling Pub Date : 2019-02-01 DOI:10.1515/demo-2019-0002

S. Guzmics, G. Pflug

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引用次数: 3

摘要

本文考虑一个系统风险的依赖寿命模型，其基本思想是由弗洛伊德首次提出的。该模型允许对任意多个经济主体的违约级联效应进行建模。我们特别研究了有关的二元联结函数。这个联结不具有闭合形式，也不属于阿基米德联结类。我们推导了它的一些单调性性质，并展示了如何使用该联结公式来模拟所观察到的CDS价差中隐含的级联效应。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Modelling cascading effects for systemic risk: Properties of the Freund copula

Abstract We consider a dependent lifetime model for systemic risk, whose basic idea was for the first time presented by Freund. This model allows to model cascading effects of defaults for arbitrarily many economic agents. We study in particular the pertaining bivariate copula function. This copula does not have a closed form and does not belong to the class of Archimedean copulas, either.We derive some monotonicity properties of it and show how to use this copula for modelling the cascade effect implicitly contained in observed CDS spreads.

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来源期刊

Dependence Modeling STATISTICS & PROBABILITY-

CiteScore

1.00

自引率

0.00%

发文量

审稿时长

12 weeks

期刊介绍： The journal Dependence Modeling aims at providing a medium for exchanging results and ideas in the area of multivariate dependence modeling. It is an open access fully peer-reviewed journal providing the readers with free, instant, and permanent access to all content worldwide. Dependence Modeling is listed by Web of Science (Emerging Sources Citation Index), Scopus, MathSciNet and Zentralblatt Math. The journal presents different types of articles: -"Research Articles" on fundamental theoretical aspects, as well as on significant applications in science, engineering, economics, finance, insurance and other fields. -"Review Articles" which present the existing literature on the specific topic from new perspectives. -"Interview articles" limited to two papers per year, covering interviews with milestone personalities in the field of Dependence Modeling. The journal topics include (but are not limited to):　 -Copula methods -Multivariate distributions -Estimation and goodness-of-fit tests -Measures of association -Quantitative risk management -Risk measures and stochastic orders -Time series -Environmental sciences -Computational methods and software -Extreme-value theory -Limit laws -Mass Transportations