activity
20142020
most citedNew copulas based on general partitions-of-unity and their applications to risk management (part II)

9 citations · 51 across the 11 of their papers we have counts for

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Showing 2020Show all

2 papers · 1 filter

q-fin.RM2020

Generating unfavourable VaR scenarios with patchwork copulas

Dietmar Pfeifer, Olena Ragulina

The central idea of the paper is to present a general simple patchwork construction principle for multivariate copulas that create unfavourable VaR (i.e. Value at Risk) scenarios w…

q-fin.RM2020★ 7 cited

Adaptive Bernstein Copulas and Risk Management

Dietmar Pfeifer, Olena Ragulina

We present a constructive approach to Bernstein copulas with an admissible discrete skeleton in arbitrary dimensions when the underlying marginal grid sizes are smaller than the nu…