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Distorted Mix Method for Constructing Copulas with Tail Dependence

2018-12-13 08:55    

报告人:杨静平 【北京大学】

时   间:2018-12-12 10:00-12:00

地   点:北洋园校区32教B111


报告人简介

      北京大学数学科学学院教授,博士生导师。现任数量经济与数理金融教育部重点实验室(北京大学)副主任,中国工业与应用数学学会第七届理事会理事。研究兴趣有金融和保险中的风险相依性、债券组合模型和信贷资产证券化等。在金融数学期刊Finance and Stochastics、SIAM Journal on Financial Mathematics、Journal of Computational Finance、精算学的国际四大学术期刊以及概率论期刊Bernoulli和数学期刊Fuzzy Sets and Systems等发表了多篇学术论文。主持完成了中国国债发行策略的随机模拟模型、国债收益率曲线的拟合、信贷资产证券化以及含权债估值模型等方面的应用课题。

报告内容介绍


     We will introduce a method for constructing copula functions by combining the ideas of distortion and convex sum, named Distorted Mix Method. The method mixes different copulas with distorted margins to construct new copula functions, and it enables us to model the dependence structure of risks by handling central and tail parts separately. By applying the method we can modify the tail dependence of a given copula to any desired level measured by tail dependence function and tail dependence coefficients of marginal distributions. As an application, a tight bound for asymptotic Value-at-Risk of order statistics is obtained by using the method. An empirical study shows that copulas constructed by this method fit the empirical data of SPX 500 Index and FTSE 100 Index very well in both central and tail parts. It is a joint work with Lujun Li and K. C. Yuen.
 

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