The Composite Bernstein Copula and its financial applications

：杨静平
：2021-07-14 14:30
：腾讯会议 ID：162 669 087（无密码）

报告人：杨静平（北京大学）

时  间：7月14日下午14:30

地  点：腾讯会议 ID：162 669 087（无密码）

内容摘要: Copula functions have been widely used in econometrics, finance, statistics and social science for modeling dependence. Sancetta and Satchell (2004) presented the Bernstein copulas for approximating copula functions. Yang, Chen, Wang, and Wang (2015) introduced a new copula function, named as composite Bernstein copula. The composite Bernstein copulas include Bernstein copulas as its special family. Guo, Wang, and Yang (2017) discussed the composite Bernstein copula from its generality, its probability structure and its application in portfolio credit risk. Yang, Wang, and Xie (2020) served as a summary of the results on Bernstein Copulas and Composite Bernstein Copulas. In this talk, we will introduce the main results on the Composite Bernstein Copula and its financial applications.

References:

[1] Sancetta, A. and Satchell, S. (2004). The Bernstein copula and its applications to modeling and approximations of multivariate distributions. Econometric Theory, 20(03):535-562.

[2] Yang, J., Chen, Z., Wang, F., and Wang, R. (2015). Composite Bernstein copulas. ASTIN Bulletin, 45(02):445-475.

[3] Guo, N., Wang, F., and Yang, J. (2017). Remarks on composite bernstein copula and its application to credit risk analysis. Insurance: Mathematics and Economics, 77:38-48.

[4] Yang, J.; Wang, F.; Xie, Z. (2020). Bernstein copula and Composite Bernstein copula. In: From Probability to Finance, Lecture Notes of BICMR Summer School on Financial Mathematics (edited by Ying Jiao),  pp 183-217. Springer

个人简介：

杨静平，北京大学数学科学学院教授，博士生导师。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金融业课题。

 

联系人：王文元