Work

Adaptive Bernstein Copulas and Risk Management

Year: 2020

Type: article

Abstract: 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 number of observations. This prevents an overfitting of the estimated dependence model and reduces the simulation effort for Bernstein copulas a lot. In a case study, we compare different approaches of Bernstein and Gaussian copulas regarding the estimation of risk measures in risk management.

Source: Mathematics

DOI: 10.3390/math8122221

Authors: Dietmar Pfeifer, Olena Ragulina

Institutions: Carl von Ossietzky Universität Oldenburg, Taras Shevchenko National University of Kyiv

Language: English

Topic: Financial Risk and Volatility Modeling

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: gold

Estimated APC paid: $1,267

Funder: Carl von Ossietzky Universität Oldenburg