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Dissertations / Theses on the topic 'Copulas'

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Published: 4 June 2021
Last updated: 1 February 2025

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1

Lauterbach, Dominic [Verfasser]. "Singular Mixture Copulas - A Geometric Method of Constructing Copulas / Dominic Lauterbach." München : Verlag Dr. Hut, 2014. http://d-nb.info/1052375359/34.

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2

Blom, Joakim, and Joakim Wargclou. "Does copula beat linearity? : Comparison of copulas and linear correlation in portfolio optimization." Thesis, Umeå universitet, Institutionen för matematik och matematisk statistik, 2016. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-124634.

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Modern portfolio theory (MPT) is an investment theory which was introduced by Harry Markowitz in 1952 and describes how risk averse investors can optimize their portfolios. The objective of MPT is to assemble a portfolio by maximizing the expected return given a level of market risk or minimizing the market risk given an expected return. Although MPT has gained popularity over the years it has also been criticized for several theoretical and empirical shortcomings such as using variance as a measure of risk, measuring the dependence with linear correlation and assuming that returns are normall
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3

Schmitz, Volker. "Copulas and stochastic processes." [S.l.] : [s.n.], 2003. http://deposit.ddb.de/cgi-bin/dokserv?idn=972691669.

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4

Zeng, Xuexing. "Copulas for image processing." Thesis, University of Strathclyde, 2010. http://oleg.lib.strath.ac.uk:80/R/?func=dbin-jump-full&object_id=14336.

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5

Mazzoli, Maria. "Copulas in Nigerian Pidgin." Doctoral thesis, Università degli studi di Padova, 2013. http://hdl.handle.net/11577/3422599.

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In this work I describe the copular system of Nigerian Pidgin (NigP), a pidgin/creole language spoken in Nigeria. I restricted the analysis to the modern Western metropolitan variety. I built the present work upon both corpus occurrences and grammaticality judgments and, as I explain in Chapter 2, the spoken corpus of NigP was collected during field research in Lagos in 2007; later, I added to this material a sample of written NigP texts. This combined corpus counts about 100.000 words and is accessible in the CD (Appendix A-CD and B-CD). In 2012 I conducted a prosodic experiment in collaborat
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6

Harder, Michael [Verfasser]. "Exchangeability of copulas / Michael Harder." Ulm : Universität Ulm, 2016. http://d-nb.info/1106329910/34.

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7

Kakouris, Iakovos. "Applications of copulas in optimisation." Thesis, Imperial College London, 2013. http://hdl.handle.net/10044/1/33163.

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The methods for modelling uncertainty and assessing the risk of financial markets were placed under scrutiny after the 2008 crisis. To protect against the worst possible scenario, in a problem of asset allocation, robust optimisation is required. Still, within this framework, assumptions about the uncertainty set have to be made. In our work, we expand the possible options for describing uncertainty sets, through the use of copulas. Copulas are a useful tool for describing uncertainty because of the modelling flexibility that they provide. They are able to easily describe asymmetric dependence
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8

Viola, Márcio Luis Lanfredi 1978. "Teoria de valores extremos e copulas : distribuição valor extremo generalizada e copulas arquimedianas generalizadas trivariadas." [s.n.], 2006. http://repositorio.unicamp.br/jspui/handle/REPOSIP/306675.

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Orientadores: Veronica Andrea Gonzales-Lopez, Laura Leticia Ramos Rifo<br>Dissertação (mestrado) - Universidade Estadual de Campinas, Instituto de Matemática, Estatística e Computação Científica<br>Made available in DSpace on 2018-08-07T14:24:13Z (GMT). No. of bitstreams: 1 Viola_MarcioLuisLanfredi_M.pdf: 24648946 bytes, checksum: 3e9e740e3961441870b59a758583d5af (MD5) Previous issue date: 2006<br>Resumo: Sob a ótica da Teoria de Cópulas, a modelagem multidimensional pode ser considerada decorrente de dois processos: estimação das funções de distribuição acumulada marginais e modelagem de um
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9

Krupskii, Pavel. "Structured factor copulas and tail inference." Thesis, University of British Columbia, 2014. http://hdl.handle.net/2429/48390.

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In this dissertation we propose factor copula models where dependence is modeled via one or several common factors. These are general conditional independence models for $d$ observed variables, in terms of $p$ latent variables and the classical multivariate normal model with a correlation matrix having a factor structure is a special case. We also propose and investigate dependence properties of the extended models that we call structured factor copula models. The extended models are suitable for modeling large data sets when variables can be split into non-overlapping groups such that there i
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10

Schmitz, Volker [Verfasser]. "Copulas and Stochastic Processes / Volker Schmitz." Aachen : Shaker, 2003. http://d-nb.info/1179023064/34.

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11

Duarte, Cláudia Catarina Acúrcio. "Copulas and defaults within a crisis." Master's thesis, Instituto Superior de Economia e Gestão, 2010. http://hdl.handle.net/10400.5/2252.

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Mestrado em Matemática Financeira<br>In the aftermath of the subprime crisis, the main purpose of this thesis is to as-sess the default dependency among firms, studying the case of four US financial institutions in two periods of time: before and during the crisis. The methodology followed is based on conditional copula models, which provides a set of global and tail dependency measures, beyond the linear correlation widely misused in financial problems. For this purpose, we use CDS (credit default swap) data to estimate the copulas, that are assumed to be a proxy for default closeness, as the
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12

Cuberos, Andres. "Modélisation de la dépendance et estimation du risque agrégé." Thesis, Lyon 1, 2015. http://www.theses.fr/2015LYO10321/document.

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Cette thèse porte sur l'étude de la modélisation et estimation de la dépendance des portefeuilles de risques et l'estimation du risque agrégé. Dans le Chapitre 2, nous proposons une nouvelle méthode pour estimer les quantiles de haut niveau pour une somme de risques. Elle est basée sur l'estimation du rapport entre la VaR de la somme et la VaR du maximum des risques. Nous utilisons des résultats sur les fonctions à variation régulière. Nous comparons l'efficacité de notre méthode avec quelques estimations basées sur la théorie des valeurs extrêmes, sur plusieurs modèles. Notre méthode donne de
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13

Dushimimana, Jean Claude. "Pricing multi-asset options with levy copulas." Thesis, Stellenbosch : University of Stellenbosch, 2011. http://hdl.handle.net/10019.1/6699.

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Thesis (MSc (Mathematical Sciences))--University of Stellenbosch, 2011.<br>Imported from http://etd.sun.ac.za<br>ENGLISH ABSTRACT: In this thesis, we propose to use Levy processes to model the dynamics of asset prices. In the first part, we deal with single asset options and model the log stock prices with a Levy process. We employ pure jump Levy processes of infinite activity, in particular variance gamma and CGMY processes. We fit the log-returns of six stocks to variance gamma and CGMY distributions and check the goodness of fit using statistical tests. It is observed that the variance
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14

Fuchs, Sebastian. "Transformations of Copulas and Measures of Concordance." Doctoral thesis, Saechsische Landesbibliothek- Staats- und Universitaetsbibliothek Dresden, 2016. http://nbn-resolving.de/urn:nbn:de:bsz:14-qucosa-196039.

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Copulas are real functions representing the dependence structure of the distribution of a random vector, and measures of concordance associate with every copula a numerical value in order to allow for the comparison of different degrees of dependence. We first introduce and study a group of transformations mapping the collection of all copulas of fixed but arbitrary dimension into itself. These transformations may be used to construct new copulas from a given one or to prove that certain real functions on the unit cube are indeed copulas. It turns out that certain transformations of a symmetr
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15

Muhammad, Noryanti. "Predictive inference with copulas for bivariate data." Thesis, Durham University, 2016. http://etheses.dur.ac.uk/11597/.

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Nonparametric predictive inference (NPI) is a statistical approach with strong frequentist properties, with inferences explicitly in terms of one or more future observations. NPI is based on relatively few modelling assumptions, enabled by the use of lower and upper probabilities to quantify uncertainty. While NPI has been developed for a range of data types, and for a variety of applications, thus far it has not been developed for multivariate data. This thesis presents the rst study in this direction. Restricting attention to bivariate data, a novel approach is presented which combines NPI f
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16

Kpanzou, Tchilabalo Abozou. "Aspects of copulas and goodness-of-fit." Thesis, Stellenbosch : Stellenbosch University, 2008. http://hdl.handle.net/10019/1949.

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17

Riccetti, Luca. "Use of copulas and active portfolio management." Doctoral thesis, Università Politecnica delle Marche, 2010. http://hdl.handle.net/11566/242206.

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18

Ghassani, Mohamad. "Dynamiques épidémiques, risques et copules." Thesis, Grenoble, 2012. http://www.theses.fr/2012GRENS027/document.

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Les modèles stochastiques classiques comportent des copules d'interactions linéaires, exprimant en général des interactions de paire. Il sera envisagé d'étendre ces modèles à des interactions non linéaires de type saturation ou de type triplet, en vue de traiter des applications réalistes, comme les diffusions épidémiques.Le but de cette thèse est d'introduire les fonctions copules en épidémiologie, et surtout d'appliquer ces fonctions sur le système de transmission de la Malaria afin de constater la dépendance entre les différents compartiments du système. Nous étudierons quelques modèles com
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19

Nystedt, Gustav. "Scenario Creation for Stress Testing Using Copula Transformation." Thesis, Umeå universitet, Institutionen för fysik, 2019. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-160352.

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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. A method based on multivariate t-distributions and copula-transformations applied to historical time series data, is proposed for constructing an independent scenario generator which sh
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20

Balčiūnaitė, Rasa. "Jungčių taikymas transporto priemonių valdytojų civilinės atsakomybės privalomojo draudimo žalų modeliavimui." Master's thesis, Lithuanian Academic Libraries Network (LABT), 2014. http://vddb.library.lt/obj/LT-eLABa-0001:E.02~2006~D_20140702_190255-88041.

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Šio darbo tema yra jungčių (angl. copulas) panaudojimas ryšiams tarp daugiamačių atsitiktinių dydžių modeliuoti. Jungtis yra funkcija, kuri sujungia kelių atsitiktinių dydžių marginalinius skirstinius į bendrą daugiamatę funkciją. Jungties sąvoka pirmą kartą statistikoje įvesta 1959 m. Šiame darbe aprašomos pagrindinės jungčių savybės, keletas jungčių šeimų, išskiriant atskirą šeimą - Archimedo jungtis, taip pat priklausomumo matai tarp atsitiktinių dydžių. Vėliau tinkamos jungties pritaikymo turimam duomenų rinkiniui procedūra iliustruojama nagrinėjant transporto priemonių valdytojų civilinės
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21

AghaKouchak, Amir. "Simulation of remotely sensed rainfall fields using copulas." Stuttgart Inst. für Wasserbau, 2010. http://d-nb.info/1000637417/34.

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22

Li, Jing. "Application of copulas as a new geostatistical tool." Stuttgart Inst. für Wasserbau, 2010. http://d-nb.info/1000914682/34.

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23

Liu, Xinjia. "Pricing of multi-name credit derivatives using copulas." Worcester, Mass. : Worcester Polytechnic Institute, 2008. http://www.wpi.edu/Pubs/ETD/Available/etd-010808-160914/.

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Professional Master's Project in partial fulfillment of the requirements for the degree of Master of Science (M.S.)--Worcester Polytechnic Institute.<br>Keywords: first-to-default baskets; multi-name credit derivatives; copula functions. Includes bibliographical references (leaf 29 ).
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24

Lü, Wei, and 吕薇. "On some goodness-of-fit tests for copulas." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2012. http://hub.hku.hk/bib/B47849964.

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Copulas have been known in the statistical literature for many years, and have become useful tools in modeling dependence structure of multivariate random variables, overcoming some of the drawbacks of the commonly-used correlation measures. Goodness-of-fit tests for copulas play a very important role in evaluating the suitability of a potential input copula model. In recent years, many approaches have been proposed for constructing goodness-of-fit tests for copula families. Among them, the so-called “blanket tests" do not require an arbitrary data categorization or any strategic choic
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25

Nicoloutsopoulos, Dimitrios. "Parametric and Bayesian non-parametric estimation of copulas." Thesis, University College London (University of London), 2005. http://discovery.ucl.ac.uk/1445722/.

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This thesis studies parametric and non-parametric methods of cop ula estimation with special focus on the Archimedean class of copu las. The first part proposes an estimation procedure which is indepen dent of the marginal distributions and performs well for one-parame ter or two-parameter families of copulas, where traditional methods give questionable results especially for small sample sizes. In the sec ond part we follow a Bayesian methodology and represent the copula density as a random piecewise constant, function. Under the presence of some data, we set up a probability distribution ove
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26

Gudmundarson, Ragnar Levi. "Ruin probability and copulas : applications in insurance pricing." Master's thesis, Instituto Superior de Economia e Gestão, 2020. http://hdl.handle.net/10400.5/20623.

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Mestrado em Actuarial Science<br>Nesta tese, a probabilidade de ruína do processo de risco de Lundberg é usada como um critério para determinar o carregamento do prêmio. São considerados os processos de sinistro único e agregado. O processo de reclamação agregada é composto por dois processos de reclamação homogêneos diferentes. Ambos os casos independentes e dependentes são considerados. Cópulas de Lévy são usadas para modelar a dependência. As cópulas de Lévy fornecem uma maneira elegante e flexível de modelar dependências e podem ser uma ferramenta útil ao modelar a dependência de processos
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27

Linley, Christopher. "Modelling dependance in collateralied debt obligations with copulas." Master's thesis, University of Cape Town, 2010. http://hdl.handle.net/11427/4903.

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In this paper we provide a review of credit derivatives, and some of the tools used to model them. We give a basic introduction to copulas and how they are used to model the depedence between single name credit derivatives. We then investigate various features of Gaussian and t copula dependence using numerical results obtained from Monte-Carlo simulation.
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28

Taku, Marie Manyi. "Modelling Dependence of Insurance Risks." Thesis, Linnéuniversitetet, Institutionen för datavetenskap, fysik och matematik, DFM, 2010. http://urn.kb.se/resolve?urn=urn:nbn:se:lnu:diva-9064.

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Modelling one-dimensional data can be performed by different wellknown ways. Modelling two-dimensional data is a more open question. There is no unique way to describe dependency of two dimensional data. In this thesis dependency is modelled by copulas. Insurance data from two different regions (Göinge and Kronoberg) in Southern Sweden is investigated. It is found that a suitable model is that marginal data are Normal Inverse Gaussian distributed and copula is a better dependence measure than the usual linear correlation together with Gaussian marginals.
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29

Coblenz, Maximilian [Verfasser], and O. [Akademischer Betreuer] Grothe. "Advances in Dependence Modeling: Multivariate Quantiles, Copula Level Curve Lengths, and Non-Simplified Vine Copulas / Maximilian Coblenz ; Betreuer: O. Grothe." Karlsruhe : KIT-Bibliothek, 2018. http://d-nb.info/1174252022/34.

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30

Santos, Mariana Faria dos. "Modelling claim counts of homogeneous risk groups using copulas." Master's thesis, Instituto Superior de Economia e Gestão, 2010. http://hdl.handle.net/10400.5/2932.

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Mestrado em Ciências Actuariais<br>Over the years modelling the dependence between random variables has been a challenge in many areas, like insurance and finance. Recently with the new capital requirement regime for the European insurance business, this subject is increasing importance since, according to Solvency II, the insurer's risks should be modelled separately, then aggregated follow¬ing some dependence structure. The challenge of this framework is to achieve an accurate way of joining dependent risks in order to not over or underestimate the capital require¬ments. The aim of this thes
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31

Maddox, Wesley J. "Dependency Measures and Copulas for Multivariate Infinitely Divisible Distributions." Case Western Reserve University School of Graduate Studies / OhioLINK, 2017. http://rave.ohiolink.edu/etdc/view?acc_num=case1493912655994132.

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32

Zheng, Fei. "Learning and smoothing in switching Markov models with copulas." Thesis, Lyon, 2017. http://www.theses.fr/2017LYSEC066/document.

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Les modèles de Markov à sauts (appelés JMS pour Jump Markov System) sont utilisés dans de nombreux domaines tels que la poursuite de cibles, le traitement des signaux sismiques et la finance, étant donné leur bonne capacité à modéliser des systèmes non-linéaires et non-gaussiens. De nombreux travaux ont étudié les modèles de Markov linéaires pour lesquels bien souvent la restauration de données est réalisée grâce à des méthodes d’échantillonnage statistique de type Markov Chain Monte-Carlo. Dans cette thèse, nous avons cherché des solutions alternatives aux méthodes MCMC et proposons deux orig
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33

Manzi, Maddalena. "New construction methods for copulas and the multivariate case." Doctoral thesis, Università degli studi di Padova, 2011. http://hdl.handle.net/11577/3427458.

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Aggregation functions are mathematical objects that have the function of reducing a set of numbers into a unique representative number, combining several degrees of membership into one aggregated value. Particular kinds of aggregation functions are copulas which permit to represent joint distribution functions by splitting the marginal behaviour, embedded in the marginal distributions, from the dependence captured by the copula itself. The concept of copula can be extended to n dimensions, but multivariate extensions are generally not easily to be done. This thesis addresses and develops
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34

Ahmed, Nasreldin Osama. "Using statistical copulas to measure dependence in the agrofood sector." Doctoral thesis, Universitat Politècnica de Catalunya, 2015. http://hdl.handle.net/10803/285931.

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This thesis has been pursued in three papers whose nexus is the use of statistical copulas for the purpose of assessing dependence in the field of agrofood economics. The first paper aims at determining how the introduction of agricultural revenue insurance contracts in Spain will affect the cost of purchasing insurance, relative to yield insurance schemes. The empirical analysis focuses on the apple and orange sectors in Spain. Statistical copulas are used to jointly model price and yield perils. Monte Carlo simulation methods are employed to simulate premium rates both under revenue and yiel
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35

Reh, Lena [Verfasser]. "Measuring Multivariate Dependence - an Analytical Approach with Copulas / Lena Reh." München : Verlag Dr. Hut, 2012. http://d-nb.info/1028785054/34.

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36

Xia, Xinghua. "Essays on dependence modelling with vine copulas and its applications." Thesis, University of Leicester, 2018. http://hdl.handle.net/2381/42235.

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This thesis contains three essays on dependence modelling with high dimension vine copulas and its applications in credit portfolio risk, asset allocation and international financial contagion. In the first essay, we demonstrate the superiority of vine copulas over multivariate Gaussian copula when modelling the dependence structure of a credit portfolio risk factors. We introduce the vine copulas to modelling the dependence structure of multi risk factors log returns in the combined framework of both threshold model and mixture model credit risk modelling. The second essay studies asset alloc
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37

Carmo, Frederico Augusto Rosa do. "Estimativa das funções de recuperação de reservas minerais usando copulas." [s.n.], 2006. http://repositorio.unicamp.br/jspui/handle/REPOSIP/287450.

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Orientador: Armando Zaupa Remacre<br>Tese (doutorado) - Universidade Estadual de Campinas, Instituto de Geociencias<br>Made available in DSpace on 2018-08-07T09:52:07Z (GMT). No. of bitstreams: 1 Carmo_FredericoAugustoRosado_D.pdf: 2790866 bytes, checksum: 70c1d59f281ee0f7a09af528c73582a9 (MD5) Previous issue date: 2006<br>Resumo: O objetivo principal desta tese foi desenvolver a metodologia de cópulas aplicada ao problema de estimativas de reservas condicionadas, corrigindo erros de tonelagem e quantidade de minério de um projeto, via uma abordagem diferente da simulação estocástica condici
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Garzon, Rozo Betty Johanna. "Modelling operational risk using skew t-copulas and Bayesian inference." Thesis, University of Edinburgh, 2016. http://hdl.handle.net/1842/25751.

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Operational risk losses are heavy tailed and are likely to be asymmetric and extremely dependent among business lines/event types. The analysis of dependence via copula models has been focussed on the bivariate case mainly. In the vast majority of instances symmetric elliptical copulas are employed to model dependence for severities. This thesis proposes a new methodology to assess, in a multivariate way, the asymmetry and extreme dependence between severities, and to calculate the capital for operational risk. This methodology simultaneously uses (i) several parametric distributions and an al
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Sumbhoolaul, Helina. "Estimation of value-at-risk and expected shortfall using copulas." Master's thesis, University of Cape Town, 2008. http://hdl.handle.net/11427/4362.

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Zheng, Ming. "On the use of copulas in dependent competing risk theory." The Ohio State University, 1992. http://rave.ohiolink.edu/etdc/view?acc_num=osu1340808174.

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41

Dobric, Jadran. "Nichtparametrische Inferenz für Copulas : quantitative Risikoanalysen für den deutschen Finanzmarkt /." Aachen : Shaker, 2008. http://d-nb.info/990756920/04.

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42

Savu, Cornelia. "Modellierung multivariater Abhängigkeitsstrukturen auf Finanzmärkten mit archimedischen und hierarchischen archimedischen Copulas /." Berlin : Logos-Verl, 2007. http://deposit.d-nb.de/cgi-bin/dokserv?id=3004808&prov=M&dok_var=1&dok_ext=htm.

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43

Li, Jing [Verfasser]. "Application of copulas as a new geostatistical tool / von Jing Li." Stuttgart : Inst. für Wasserbau, 2010. http://d-nb.info/1000914682/34.

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44

AghaKouchak, Amir [Verfasser]. "Simulation of remotely sensed rainfall fields using copulas / von Amir AghaKouchak." Stuttgart : Inst. für Wasserbau, 2010. http://d-nb.info/1000637417/34.

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45

Quinn, Casey. "The Health economic applications of Copulas: methods in applied econometrics reasearch." Thesis, University of York, 2007. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.489199.

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This thesis presents copulas as a statistical methodology appropriate to applied health economic research. Like all applied economic and econometric analysis, health economics applies econometric methods under certain assumptions. I propose here that copulas be used in place of common assumptions made when analysing multivariate data, specifically the distributional and dependence assimiptions commonly made jointly-dependent outcomes in health and health care.
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46

Chui, Chin Man. "Essays on exponential series estimation and application of copulas in financial econometrics." [College Station, Tex. : Texas A&M University, 2008. http://hdl.handle.net/1969.1/ETD-TAMU-2857.

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47

Orrenius, Johan. "Optimal mass transport: a viable alternative to copulas in financial risk modeling?" Thesis, KTH, Matematik (Inst.), 2018. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-231829.

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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. The basic copula properties are replicated for the optimal mass transport problem. The estimation of the parameters of the optimal mass transport problem is attempted using a maximum likelihood analogy, but only successful when observing the general tendencies on a grid of the par
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48

Oduneye, Chris Emeka. "Credit modelling : generating spread dynamics with intensities and creating dependence with copulas." Thesis, Imperial College London, 2011. http://hdl.handle.net/10044/1/6910.

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The thesis is an investigation into the pricing of credit risk under the intensity framework with a copula generating default dependence between obligors. The challenge of quantifying credit risk and the derivatives that are associated with the asset class has seen an explosion of mathematical research into the topic. As credit markets developed the modelling of credit risk on a portfolio level, under the intensity framework, was unsatisfactory in that either: 1. The state variables of the intensities were driven by diffusion processes and so could not generate the observed level of default co
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Dobric, Jadran [Verfasser]. "Nichtparametrische Inferenz für Copulas: Quantitative Risikoanalysen für den deutschen Finanzmarkt / Jadran Dobric." Aachen : Shaker, 2008. http://d-nb.info/1161303855/34.

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50

Yang, Wen. "Drought Analysis under Climate Change by Application of Drought Indices and Copulas." PDXScholar, 2010. https://pdxscholar.library.pdx.edu/open_access_etds/716.

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Abstract:
Drought is a recurrent extreme climate event with tremendous hazard for every specter of natural environment and human lives. Drought analysis usually involves characterizing drought severity, duration and intensity. Similar to most of the hydrological problems, such characteristic variables are usually not independent. Copula, as a model of multivariate distribution, widely used in finance, actuarial analysis, has won increasingly popularity in hydrological study. Here, the study has two major focuses: (1) fit drought characteristics from Streamflow Drought Index (SDI) or Standardized Runoff
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