Speaker：Jingping Yang (Peking University)

Time：2021-07-14 14:30

Location：Tencent Meeting ID：162 669 087（No Password）

Abstract:

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