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Risco e alocação de ativos : uma aplicação empírica ao caso brasileiro

Irie, Mauricio Mussashi
Fonte: Fundação Getúlio Vargas Publicador: Fundação Getúlio Vargas
Tipo: Dissertação
Português
Relevância na Pesquisa
26.95%
Este trabalho explora com cuidado o lado específico da implementação de um modelo de alocação de ativos em que o risco é tratado de maneira integrada, não somente através do desvio padrão do portfólio, mas também considerando outras métricas de risco como, por exemplo, o Expected Shortfall. Além disso, utilizamos algumas técnicas de como trabalhar com as variáveis de modo a extrair do mercado os chamados “invariantes de mercado”, fenômenos que se repetem e podem ser modelados como variáveis aleatórias independentes e identicamente distribuídas. Utilizamos as distribuições empíricas dos invariantes, juntamente com o método de Cópulas para gerar um conjunto de cenários multivariados simulados de preços. Esses cenários são independentes de distribuição, portanto são não paramétricos. Através dos mesmos, avaliamos a distribuição de retornos simulados de um portfólio através de um índice de satisfação que é baseado em uma função de utilidade quadrática e utiliza o Expected Shortfall como métrica de risco. O índice de satisfação incorpora o trade-off do investidor entre risco e retorno. Finalmente, escolhemos como alocação ótima aquela que maximiza o índice de satisfação ajustado a um parâmetro de aversão ao risco. Perseguindo esses passos...

Investigação Sobre os Peptídeos Transferidos para a Casca do Ovo de Callosobruchus maculatus Alimentados com Vicilina de Vigna unguiculata e seu Possível Efeito Antimicrobiano

Linhares, Ricardo Thomé
Fonte: Florianópolis, SC. Publicador: Florianópolis, SC.
Tipo: Trabalho de Conclusão de Curso Formato: 38
Português
Relevância na Pesquisa
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TCC(graduação) - Universidade Federal de Santa Catarina. Centro de Ciências Biológicas. Biologia.; Este trabalho mostra que a vicilina, uma proteína de reserva de sementes, presente na dieta dos besouros Callosobruchus maculatus após ser internalizada é processada pelos machos, sendo transferida para as fêmeas durante a cópula através do fluído seminal como presente nupcial. Larvas de terceiro estádio foram colocadas para se alimentar em sementes artificiais. As sementes foram montadas com farinha de Vigna unguiculata mais 0,5% vicilina marcada FITC ou RITC dentro de cápsulas de gelatina. Machos que haviam passado pelas dietas foram separados ainda virgens. Cópulas controladas de fêmeas virgens não marcadas, retiradas da colônia, com os machos com vicilina marcada foram realizadas. Em um primeiro momento cada fêmea copulou com um macho marcado, foi retirada e deixada ovipondo em um frasco coberto individual contendo sementes. No dia seguinte foi feita uma segunda cópula com um macho agora com outra marcação, as fêmeas foram deixadas ovipondo em frascos com sementes. Os ovos foram coletados após a segunda cópula e montados em lâminas escavadas para observação em microscópio confocal. As duas marcações foram observadas na superfície dos ovos mostrando a contribuição de ambos os machos nos peptídeos depositados sobre os ovos pelas fêmeas...

Quantitative Trait Linkage Analysis Using Gaussian Copulas

Li, Mingyao; Boehnke, Michael; Abecasis, Gonçalo R.; Song, Peter X.-K.
Fonte: Copyright © 2006 by the Genetics Society of America Publicador: Copyright © 2006 by the Genetics Society of America
Tipo: Artigo de Revista Científica
Publicado em /08/2006 Português
Relevância na Pesquisa
26.95%
Mapping and identifying variants that influence quantitative traits is an important problem for genetic studies. Traditional QTL mapping relies on a variance-components (VC) approach with the key assumption that the trait values in a family follow a multivariate normal distribution. Violation of this assumption can lead to inflated type I error, reduced power, and biased parameter estimates. To accommodate nonnormally distributed data, we developed and implemented a modified VC method, which we call the “copula VC method,” that directly models the nonnormal distribution using Gaussian copulas. The copula VC method allows the analysis of continuous, discrete, and censored trait data, and the standard VC method is a special case when the data are distributed as multivariate normal. Through the use of link functions, the copula VC method can easily incorporate covariates. We use computer simulations to show that the proposed method yields unbiased parameter estimates, correct type I error rates, and improved power for testing linkage with a variety of nonnormal traits as compared with the standard VC and the regression-based methods.

Sur les prolongements de sous-copules

Ajavon, Ayi
Fonte: Université de Montréal Publicador: Université de Montréal
Tipo: Thèse ou Mémoire numérique / Electronic Thesis or Dissertation
Português
Relevância na Pesquisa
26.95%
L’objet du travail est d’étudier les prolongements de sous-copules. Un cas important de l’utilisation de tels prolongements est l’estimation non paramétrique d’une copule par le lissage d’une sous-copule (la copule empirique). Lorsque l’estimateur obtenu est une copule, cet estimateur est un prolongement de la souscopule. La thèse présente au chapitre 2 la construction et la convergence uniforme d’un estimateur bona fide d’une copule ou d’une densité de copule. Cet estimateur est un prolongement de type copule empirique basé sur le lissage par le produit tensoriel de fonctions de répartition splines. Le chapitre 3 donne la caractérisation de l’ensemble des prolongements possibles d’une sous-copule. Ce sujet a été traité par le passé; mais les constructions proposées ne s’appliquent pas à la dépendance dans des espaces très généraux. Le chapitre 4 s’attèle à résoudre le problème suivant posé par [Carley, 2002]. Il s’agit de trouver la borne supérieure des prolongements en dimension 3 d’une sous-copule de domaine fini.; The extension of subcopulas is an important domain. One of possible applications is the nonparametric estimation of a copula: it consists of the smoothing of a subcopula (the empirical copula) while preserving the copulas properties. In Chapter 2...

A review of the application of copulas to improve modelling of non-bigaussian bivariate relationships (with an example using geological data)

Boardman, R.; Vann, J.
Fonte: The Modelling and Simulation Society of Australia and NZ; Australia Publicador: The Modelling and Simulation Society of Australia and NZ; Australia
Tipo: Conference paper
Publicado em //2011 Português
Relevância na Pesquisa
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R.C. Boardman and J.E. Vann

Gaussian process conditional copulas with applications to financial time series

Hernández-Lobato, José Miguel; Lloyd, James R.; Hernández-Lobato, Daniel
Fonte: NIPS Publicador: NIPS
Tipo: conferenceObject; bookPart
Português
Relevância na Pesquisa
26.95%
This is an electronic version of the paper presented at the Annual Conference on Neural Information Processing Systems, held in Lake Tahoe on 2013; The estimation of dependencies between multiple variables is a central problem in the analysis of financial time series. A common approach is to express these dependencies in terms of a copula function. Typically the copula function is assumed to be constant but this may be innacurate when there are covariates that could have a large influence on the dependence structure of the data. To account for this, a Bayesian framework for the estimation of conditional copulas is proposed. In this framework the parameters of a copula are non-linearly related to some arbitrary conditioning variables. We evaluate the ability of our method to predict time-varying dependencies on several equities and currencies and observe consistent performance gains compared to static copula models and other time-varying copula methods.

Analysis of new techniques for risk aggregation and dependence modelling

Abadi, Mostafa Shams Esfand
Fonte: Instituto Superior de Economia e Gestão Publicador: Instituto Superior de Economia e Gestão
Tipo: Dissertação de Mestrado
Publicado em //2015 Português
Relevância na Pesquisa
26.95%
Mestrado em Ciências Actuariais; In risk aggregation we are interested in the distribution of the sum of dependent risks. The objective of risk aggregation and dependence modeling is to model adequately dependent insurance portfolios in order to evaluate the overall risk exposure. This master thesis investigates some practical aspects of modeling risk aggregation and dependency. We give an introduction to copula-based hierarchical aggregation model through reordering algorithm. This approach can be easily applicable in high dimensions and consists of a tree structure, bivariate copulas, and marginal distributions. This method is empirically illustrated using data set of Danish Fire Insurance Data. These data were collected at Copenhagen Reinsurance over the period 1980 to 1990 and every total claim has been divided into three risks consisting of a building loss, a loss of contents and a loss of profits caused by the same fire.

Sensitivity Analysis of Models with Input Codependencies

Dougherty, SEAN
Fonte: Quens University Publicador: Quens University
Tipo: Tese de Doutorado
Português
Relevância na Pesquisa
26.95%
Assuming a set of variates are independent and normally distributed is commonplace in statistics. In this thesis, we consider the consequences of these assumptions as they pertain to global sensitivity analysis. We begin by illustrating how the notion of sensitivity becomes distorted in the presence of codependent model inputs. This observation motivates us to develop a new methodology which accommodates for input codependencies. Our methodology can be summarized through three points: First, a new form of sensitivity is presented which performs as well as the classical form but can be obtained at a fraction of the computational cost. Second, we define a measure which quantifies the extent of distortion caused by codependent inputs. The third point is regarding the modelling of said codependencies. The multivariate normal distribution is a natural choice for modelling codependent inputs; however, our methodology uses a copula-based approach instead. Copulas are a contemporary strategy for constructing multivariate distributions whereby the marginal and joint behaviours are treated separately. As a result, a practitioner has more flexibility when modelling inputs.; Thesis (Master, Chemical Engineering) -- Queen's University, 2013-12-05 10:16:26.81

Análise de risco de crédito: modelação de distribuições baseada em cópulas

Antunes, Tiago André Cardoso
Fonte: Instituto Superior de Economia e Gestão Publicador: Instituto Superior de Economia e Gestão
Tipo: Dissertação de Mestrado
Publicado em //2012 Português
Relevância na Pesquisa
26.95%
Mestrado em Finanças; O risco de crédito é definido pela relação de incerteza em receber numa data futura o valor emprestado. Devido ao crescente volume de perdas de capital assim como ao maior rigor por parte das instituições reguladoras, a gestão do risco de crédito assume actualmente um papel fundamental na actividade bancária. A teoria de Cópulas surge como um modelo matemático que permite ajustar e compreender a relação de dependência entre diferentes distribuições marginais ou de variáveis. Os resultados obtidos confirmam a existência de relações de dependência entre perda de crédito e as diferentes variáveis de risco, demonstrando a possibilidade de modelação através da sua cópula.; The credit risk is defined as the ratio of uncertainty in receiving at a future date the amount borrowed. Due to the increasing volume of loss of capital, as well as the greater rigor on the part of regulatory entities, the management of credit risk plays currently a key role in banking activity. The Copula's theory appears such as a mathematical model that allows you to adjust and understand the relationship of dependence between different marginal distributions or risk variables. It is therefore expected that a multivariate distribution still that composed by different marginal distributions can have their dependence relations modeled by the Copula’s families that best fit to each specific case.

Correcting for the dependent competing risk of treatment using inverse probability of censoring weighting and copulas in the estimation of natural conception chances

van Geloven, N.; Geskus, R.B.; Mol, B.W.; Zwinderman, A.H.
Fonte: Wiley Publicador: Wiley
Tipo: Artigo de Revista Científica
Publicado em //2014 Português
Relevância na Pesquisa
26.95%
When estimating the probability of natural conception from observational data on couples with an unfulfilled child wish, the start of assisted reproductive therapy (ART) is a competing event that cannot be assumed to be independent of natural conception. In clinical practice, interest lies in the probability of natural conception in the absence of ART, as this probability determines the need for therapy. We thus want to estimate the marginal cumulative pregnancy distribution. Without assumptions on the dependence structure between the two competing events, this marginal distribution is not identifiable. We first use inverse probability of censoring weighting assuming that the factors influencing the choice to start ART are known. Then, we parameterize the event distributions for conception and for start of ART and use copulas to account for the dependency between both events. By using these two ways of correcting for the dependent risk of treatment, we obtain a plausible estimation region for the cumulative pregnancy curve and for the prognostic effect of tubal tests.; N. van Geloven, R. B. Geskus, B. W. Mol, A. H. Zwinderman

Nonparametric estimation of multivariate extreme-value copulas

Gudendorf, Gordon; Segers, Johan
Fonte: Universidade Cornell Publicador: Universidade Cornell
Tipo: Artigo de Revista Científica
Português
Relevância na Pesquisa
26.95%
Extreme-value copulas arise in the asymptotic theory for componentwise maxima of independent random samples. An extreme-value copula is determined by its Pickands dependence function, which is a function on the unit simplex subject to certain shape constraints that arise from an integral transform of an underlying measure called spectral measure. Multivariate extensions are provided of certain rank-based nonparametric estimators of the Pickands dependence function. The shape constraint that the estimator should itself be a Pickands dependence function is enforced by replacing an initial estimator by its best least-squares approximation in the set of Pickands dependence functions having a discrete spectral measure supported on a sufficiently fine grid. Weak convergence of the standardized estimators is demonstrated and the finite-sample performance of the estimators is investigated by means of a simulation experiment.; Comment: 26 pages; submitted; Universit\'e catholique de Louvain, Institut de statistique, biostatistique et sciences actuarielles

Bivariate Cox model and copulas

Achibi, Mohamed; Broniatowski, Michel
Fonte: Universidade Cornell Publicador: Universidade Cornell
Tipo: Artigo de Revista Científica
Português
Relevância na Pesquisa
27.22%
This paper introduces a new class of Cox models for dependent bivariate data. The impact of the covariate on the dependence of the variables is captured through the modification of their copula. Various classes of well known copulas are stable under the model (archimedean type and extreme value copulas), meaning that the role of the covariate acts in a simple and explicit way on the copula in the class; specific parametric classes are considered.

Symmetry and dependence properties within a semiparametric family of bivariate copulas

Amblard, Cécile; Girard, Stéphane
Fonte: Universidade Cornell Publicador: Universidade Cornell
Tipo: Artigo de Revista Científica
Publicado em 30/03/2011 Português
Relevância na Pesquisa
27.22%
In this paper, we study a semiparametric family of bivariate copulas. The family is generated by an univariate function, determining the symmetry (radial symmetry, joint symmetry) and dependence property (quadrant dependence, total positivity, ...) of the copulas. We provide bounds on different measures of association (such as Kendall's Tau, Spearman's Rho) for this family and several choices of generating functions allowing to reach these bounds.

Estimation procedures for a semiparametric family of bivariate copulas

Amblard, Cécile; Girard, Stéphane
Fonte: Universidade Cornell Publicador: Universidade Cornell
Tipo: Artigo de Revista Científica
Publicado em 01/04/2011 Português
Relevância na Pesquisa
27.22%
In this paper, we propose simple estimation methods dedicated to a semiparametric family of bivariate copulas. These copulas can be simply estimated through the estimation of their univariate generating function. We take profit of this result to estimate the associated measures of association as well as the high probability regions of the copula. These procedures are illustrated on simulations and on real data.

Maximum Likelihood Estimation of the correlation parameters for elliptical copulas

Hernández, Lorenzo; Tejero, Jorge; Vinuesa, Jaime
Fonte: Universidade Cornell Publicador: Universidade Cornell
Tipo: Artigo de Revista Científica
Publicado em 19/12/2014 Português
Relevância na Pesquisa
27.22%
We present an algorithm to obtain the maximum likelihood estimates of the correlation parameters of elliptical copulas. Previously existing methods for this task were either fast but only approximate or exact but very time-consuming, especially for high-dimensional problems. Our proposal combines the advantages of both, since it obtains the exact estimates and its performance makes it suitable for most practical applications. The algorithm is given with explicit expressions for the Gaussian and Student's t copulas.; Comment: 6 figures

Consistent single- and multi-step sampling of multivariate arrival times: A characterization of self-chaining copulas

Brigo, Damiano; Chourdakis, Kyriakos
Fonte: Universidade Cornell Publicador: Universidade Cornell
Tipo: Artigo de Revista Científica
Português
Relevância na Pesquisa
27.22%
This paper deals with dependence across marginally exponentially distributed arrival times, such as default times in financial modeling or inter-failure times in reliability theory. We explore the relationship between dependence and the possibility to sample final multivariate survival in a long time-interval as a sequence of iterations of local multivariate survivals along a partition of the total time interval. We find that this is possible under a form of multivariate lack of memory that is linked to a property of the survival times copula. This property defines a "self-chaining-copula", and we show that this coincides with the extreme value copulas characterization. The self-chaining condition is satisfied by the Gumbel-Hougaard copula, a full characterization of self chaining copulas in the Archimedean family, and by the Marshall-Olkin copula. The result has important practical implications for consistent single-step and multi-step simulation of multivariate arrival times in a way that does not destroy dependency through iterations, as happens when inconsistently iterating a Gaussian copula.

Sequential Bayesian Model Selection of Regular Vine Copulas

Gruber, Lutz; Czado, Claudia
Fonte: Universidade Cornell Publicador: Universidade Cornell
Tipo: Artigo de Revista Científica
Publicado em 03/12/2015 Português
Relevância na Pesquisa
27.22%
Regular vine copulas can describe a wider array of dependency patterns than the multivariate Gaussian copula or the multivariate Student's t copula. This paper presents two contributions related to model selection of regular vine copulas. First, our pair copula family selection procedure extends existing Bayesian family selection methods by allowing pair families to be chosen from an arbitrary set of candidate families. Second, our method represents the first Bayesian model selection approach to include the regular vine density construction in its scope of inference. The merits of our approach are established in a simulation study that benchmarks against methods suggested in current literature. A real data example about forecasting of portfolio asset returns for risk measurement and investment allocation illustrates the viability and relevance of the proposed scheme.; Comment: Published at http://dx.doi.org/10.1214/14-BA930 in the Bayesian Analysis (http://projecteuclid.org/euclid.ba) by the International Society of Bayesian Analysis (http://bayesian.org/)

Multiplier bootstrap of tail copulas with applications

Bücher, Axel; Dette, Holger
Fonte: Universidade Cornell Publicador: Universidade Cornell
Tipo: Artigo de Revista Científica
Português
Relevância na Pesquisa
27.22%
For the problem of estimating lower tail and upper tail copulas, we propose two bootstrap procedures for approximating the distribution of the corresponding empirical tail copulas. The first method uses a multiplier bootstrap of the empirical tail copula process and requires estimation of the partial derivatives of the tail copula. The second method avoids this estimation problem and uses multipliers in the two-dimensional empirical distribution function and in the estimates of the marginal distributions. For both multiplier bootstrap procedures, we prove consistency. For these investigations, we demonstrate that the common assumption of the existence of continuous partial derivatives in the the literature on tail copula estimation is so restrictive, such that the tail copula corresponding to tail independence is the only tail copula with this property. Moreover, we are able to solve this problem and prove weak convergence of the empirical tail copula process under nonrestrictive smoothness assumptions that are satisfied for many commonly used models. These results are applied in several statistical problems, including minimum distance estimation and goodness-of-fit testing.; Comment: Published in at http://dx.doi.org/10.3150/12-BEJ425 the Bernoulli (http://isi.cbs.nl/bernoulli/) by the International Statistical Institute/Bernoulli Society (http://isi.cbs.nl/BS/bshome.htm)

Testing extreme value copulas to estimate the quantile

Bahraoui, Zuhair; Bolance, Catalina; Pérez-Marín, Ana M.
Fonte: Universidade Autônoma de Barcelona Publicador: Universidade Autônoma de Barcelona
Tipo: Artigo de Revista Científica Formato: application/pdf
Publicado em //2014 Português
Relevância na Pesquisa
27.22%
We generalize the test proposed by Kojadinovic, Segers and Yan which is used for testing whether the data belongs to the family of extreme value copulas. We prove that the generalized test can be applied whatever the alternative hypothesis. We also study the effect of using different extreme value copulas in the context of risk estimation. To measure the risk we use a quantile. Our results have been motivated by a bivariate sample of losses from a real database of auto insurance claims.

Dependence analysis of ethanol, suga, oil, BRL/USD exchange rate and Bovespa: a vine copula approach; Dependence analysis of ethanol, suga, oil, BRL/USD exchange rate and Bovespa: a vine copula approach

Resende, Anderson Gomes; Candido, Osvaldo
Fonte: Universidade de São Paulo. Faculdade de Economia, Administração e Contabilidade de RP Publicador: Universidade de São Paulo. Faculdade de Economia, Administração e Contabilidade de RP
Tipo: info:eu-repo/semantics/article; info:eu-repo/semantics/publishedVersion; ; ; Formato: application/pdf
Publicado em 19/09/2015 Português
Relevância na Pesquisa
27.22%
The aim of this study is to assess the dependence relationship of the sugarcane sector (represented by Ethanol and Sugar), Oil, BRL/USD Exchange Rate and Brazilian stock market (represented by the BOVESPA – Bolsa de Valores de São Paulo – Index). Our methodology is based on paircopulas constructions, in which tree specification are compared: Regular Vine, more general, and two particular cases, Canonical vine (C-vine) and Drawable vine (D-vine). Primary results are shown to be aligned with the existing literature but they can change significantly when conditional dependence is taken into account.; Este trabalho tempor objetivo analisar a relação de dependência entreo setor sucroalcooleiro (representado por Etanol e Açúcar), Petróleo, Taxade Câmbio R$/US$ e o mercado acionário brasileiro (representado pelo índiceBOVESPA). A metodologia utilizada é baseada em pair-cópulas e sãocomparadas três especificações: Regular Vine, a forma mais geral, e doiscasos particulares Vine Canônico e Drawable vine. Os resultados obtidosindicaram relações de dependência alinhadas com a literatura existente,mas mostraramque estas relações se alteram significativamente quando adependência condicional é levada em conta.