Browsing by Subject "Copula"
Now showing items 1-6 of 6
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Aligning the economic capital of model risk with the strategic objectives of an enterprise
(North-West University (South Africa) , Potchefstroom Campus, 2016)Enterprise risk management is a method for managing risks associated with strategic objectives of an organisation. Enterprise risk management is designed to identify potential risks affecting the organisation and to manage ... -
Bernstein estimation for a copula derivative with application to conditional distribution and regression functionals
(Springer, 2016)Bernstein estimators attracted considerable attention as smooth nonparametric estimators for distribution functions, densities, copulas and copula densities. The present paper adds a parallel result for the first-order ... -
New semiparametric and nonparametric bootstrap tests for Spearman's rho
(SASA, 2011)In this paper we propose two bootstrap-based tests for Spearman's rho. The first is a semiparametric test based on copulas, while the second is a nonparametric test. The efficiency of the tests are investigated by means ... -
Nonparametric estimation of the cross ratio function
(Springer, 2020)The cross ratio function (CRF) is a commonly used tool to describe local dependence between two correlated variables. Being a ratio of conditional hazards, the CRF can be rewritten in terms of (first and second derivatives ... -
Risk aggregation and capital allocation using copulas
(North-West University, 2014)Banking is a risk and return business; in order to obtain the desired returns, banks are required to take on risks. Following the demise of Lehman Brothers in September 2008, the Basel III Accord proposed considerable ... -
Smooth copula-based estimation of the conditional density function with a single covariate
(Elsevier, 2017)Some recent papers deal with smooth nonparametric estimators for copula functions and copula derivatives. These papers contain results on copula-based Bernstein estimators for conditional distribution functions and related ...