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An Introduction to Copulas
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This book discusses the fundamental properties of copulas and some of their primary applications, which include the study of dependence and measures of association, and the construction of families of bivariate distributions.Abstract:
The study of copulas and their role in statistics is a new but vigorously growing field. In this book the student or practitioner of statistics and probability will find discussions of the fundamental properties of copulas and some of their primary applications. The applications include the study of dependence and measures of association, and the construction of families of bivariate distributions. This book is suitable as a text or for self-study.read more
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Banking Stability Measures
TL;DR: In this paper, the authors define a set of banking stability measures which take account of distress dependence among the banks in a system, thereby providing a tool to analyze stability from complementary perspectives by allowing the measurement of common distress of the banks, distress between specific banks, and distress in the system associated with a specific bank.
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Good Jobs, Bad Jobs, and Trade Liberalization
TL;DR: This article developed a new model that merges Melitz (2003) with Shapiro and Stiglitz (1984) and also links product market churning to labor market churn, showing that, for reasonable parameter values, as many as one-fourth of existing "good jobs" (those with above average wage) may be destroyed in a liberalization.
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A General Approach to Integrated Risk Management with Skewed, Fat-tailed Risks *
TL;DR: In this article, the authors construct the joint risk distribution for a typical large, internationally active bank using the method of copulas, which allows them to incorporate realistic marginal distributions that capture essential empirical features of these risks such as skewness and fat-tails while allowing for a rich dependence structure.
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Conditional dependence structure between oil prices and exchange rates: A copula-GARCH approach
TL;DR: In this article, the conditional dependence structure between crude oil prices and U.S. dollar exchange rates using a copula-GARCH approach was studied, and various copula functions of the elliptical, Archimedean and quadratic families were used to model the underlying dependence structure.
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On the Use of Copulas in Hydrology: Theory and Practice
TL;DR: In this article, the use of copulas in hydrological modeling has been explored and many important results still are to be discovered and/or derived, such as: (1) the calculation of conditional probabilities and their use in bivariate simulation; (2) the calculated level curves of joint distributions; (3) the return periods of bivariate events, both in the conditional and unconditional cases; (4) the definition and calculation of the secondary return period; (5) a trivariate model for the temporal structure of the sequence of storms; (6) the