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Forschungsseminar Mathematische Statistik
WIAS Berlin, Humboldt-Universität zu Berlin, Universität Potsdam
Prof. M. Scherer (TU München)
On the construction and use of factor copula models
Programm / Abstract:
Modeling the dependence structure of high-dimensional random vectors is not an easy task. Nevertheless, it is required in many applications in the financial industry. Often, one faces a tradeoff between models that are rather simple but computationally efficient on the one hand, and very flexible dependence structures that become unhandy as the dimension of the problem increases on the other hand. Several popular families of copulas, especially when based on a factor-model construction, are extendible. Even though such structures are very convenient in large dimensions (due to the factor model / conditional i.i.d. structure), the assumption of conditional i.i.d. may be over-simplistic for real situations. One possibility to overcome extendibility without giving up the general structure is to consider hierarchical (or nested) extensions of the dependence structure in concern. Heuristically speaking, the dependence structure of hierarchical copulas is induced by some global stochastic factor affecting i.i.d. components and by additional group-specific factors that only affect certain sub-vectors. We present a survey of recent developments on hierarchical models, such as hierarchical Archimedean and Marshall-Olkin type dependence structures, and unify the literature by introducing the notion of h-extendibility. This definition generalizes extendible models in a natural way to hierarchical structures. Finally, we sketch applications to credit risk and insurance portfolios.
Zeit:
am Mittwoch den 15. Mai 2013 um 10:00
Ort:
Weierstraß-Institut
Hausvogteiplatz 11A
10117 Berlin
Raum: 4.13 4. Etage
eingetragen von chschnei(Christine.Schneider@wias-berlin.de, 030 20372574)