Elliptical and Archimedean copula models: an application to the price estimation of portfolio credit derivatives

Umeorah, Nneka; Mashele, Phillip; Ehrhardt, Matthias

doi:10.21314/jcr.2020.263

Cited by 2 publications

(5 citation statements)

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“…We used gaussian, clayton, gumbel and frank copula in the analysis. As written in literature review in (Umeorah et al, 2019), the copula analysis is divided into several steps. First, we transformed all the data into Uniform [0,1] domain.…”

Section: B Research Methodsmentioning

confidence: 99%

“…is the correlation parameter in , Φ −1 is inverse of univariate standard normal distribution (Umeorah et al, 2019).…”

Section: Gaussian Copulamentioning

confidence: 99%

“…is the correlation parameter in , t −1 β is inverse of student t-distribution with degree of freedom β (Umeorah et al, 2019).…”

Section: Students T-copulamentioning

confidence: 99%

“…. , F Xm in nondecreasing domain, R, that are F X1 (−∞) = 0 and F X1 (∞) = 1, then according to Sklar's Theorem in Umeorah et al (2019), the joint distribution is:…”

Section: A Introductionmentioning

confidence: 99%

“…. , F Xm is continuous then Copula function C X is unique (Umeorah et al, 2019), instead of specifying a multivariate distribution F, the structure of dependency could be modelled by identifying the marginal function F Xj (x j ) and a copula C X . Copula function C X could be written as:…”

Section: A Introductionmentioning

confidence: 99%

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Impact of SST Anomalies on Coral Reefs Damage Based on Copula Analysis

Oktaviana

Fithriasari

2023

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The condition of coral reefs in Indonesia is alarming. One of the influenting factors of coral reefs damage is extreme climate change. The aim of this study is to determine the relationship of climate change, that is Sea Surface Temperature (SST) anomaly index, and coral reefs damage in West, Central and East Region of Indonesia. The method used in this study is Copula analysis. Copula is one of the statistical methods used to determine the relationship of two or more variables, in which case the distribution can be normal or not. First, data is transformed into Uniform [0,1] domain. Then, Copula parameter is estimated to get significance parameter. Lastly, the best Copula that has the highest log likelihood value is selected to represent the relationship of data. The result indicates that percentage of coral reefs damage in West and Central Region has relationship with SST Nino 4, while coral reefs damage in East Region does not have relationship with any of SST Nino anomalies. In West Region, the best Copula represents the relationship is Gaussian Copula (parameter = -0.32); it concludes that the higher the value of SST Nino 4, the lower the percentage of coral reefs damage and otherwise. While in Central Indonesia, Frank Copula (parameter = -4.89) is selected; it does not have tail dependency so that the SST Nino 4 and the percentage of coral reefs in damage condition in Central Region has low correlation.

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Section: B Research Methodsmentioning

confidence: 99%

“…is the correlation parameter in , Φ −1 is inverse of univariate standard normal distribution (Umeorah et al, 2019).…”

Section: Gaussian Copulamentioning

confidence: 99%

“…is the correlation parameter in , t −1 β is inverse of student t-distribution with degree of freedom β (Umeorah et al, 2019).…”

Section: Students T-copulamentioning

confidence: 99%

“…. , F Xm in nondecreasing domain, R, that are F X1 (−∞) = 0 and F X1 (∞) = 1, then according to Sklar's Theorem in Umeorah et al (2019), the joint distribution is:…”

Section: A Introductionmentioning

confidence: 99%

Section: A Introductionmentioning

confidence: 99%

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