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q-fin.RM2014
Default Probability Estimation via Pair Copula Constructions
Luciana Dalla Valle, Maria Elena De Giuli, Claudia Tarantola +1
In this paper we present a novel approach for firm default probability estimation. The methodology is based on multivariate contingent claim analysis and pair copula constructions.…
q-fin.RM2008★ 4 cited
Bayesian Analysis of Value-at-Risk with Product Partition Models
Giacomo Bormetti, Maria Elena De Giuli, Danilo Delpini +1
In this paper we propose a novel Bayesian methodology for Value-at-Risk computation based on parametric Product Partition Models. Value-at-Risk is a standard tool to measure and co…