Bayesian Copulae Distributions, with Application to Operational Risk Management-Some Comments

被引：21
|
作者：
Arbenz, Philipp [1 ]
机构：
[1] Swiss Fed Inst Technol, Dept Math, RiskLab, CH-8092 Zurich, Switzerland
来源：
METHODOLOGY AND COMPUTING IN APPLIED PROBABILITY | 2013年 / 15卷 / 01期
关键词：
Bayesian normal copula; Bayesian Student's t copula;
D O I：
10.1007/s11009-011-9224-0
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
This paper points out mistakes in some results given in the paper "Bayesian Copulae Distributions, with Application to Operational Risk Management" by Luciana Dalla Valle, published in 2009 in volume 11, number 1 of "Methodology and Computing in Applied Probability". In particular, we explain why the inverse Wishart distribution is not a conjugate prior to the Gaussian copula.
引用
收藏
页码：105 / 108
页数：4
相关论文
共 47 条
  • [1] Bayesian Copulae Distributions, with Application to Operational Risk Management—Some Comments
    Philipp Arbenz
    [J]. Methodology and Computing in Applied Probability, 2013, 15 : 105 - 108
  • [2] Bayesian Copulae Distributions, with Application to Operational Risk Management
    Dalla Valle, Luciana
    [J]. METHODOLOGY AND COMPUTING IN APPLIED PROBABILITY, 2009, 11 (01) : 95 - 115
  • [3] Bayesian Copulae Distributions, with Application to Operational Risk Management
    Luciana Dalla Valle
    [J]. Methodology and Computing in Applied Probability, 2009, 11 : 95 - 115
  • [4] Erratum to: Bayesian Copulae Distributions, with Application to Operational Risk Management
    Luciana Dalla Valle
    [J]. Methodology and Computing in Applied Probability, 2012, 14 : 1121 - 1121
  • [5] Erratum to: Bayesian Copulae Distributions, with Application to Operational Risk Management (vol 11, pg 95, 2009)
    Dalla Valle, Luciana
    [J]. METHODOLOGY AND COMPUTING IN APPLIED PROBABILITY, 2012, 14 (04) : 1121 - 1121
  • [6] A Bayesian approach to estimate the marginal loss distributions in operational risk management
    Valle, L. Dalla
    Giudici, P.
    [J]. COMPUTATIONAL STATISTICS & DATA ANALYSIS, 2008, 52 (06) : 3107 - 3127
  • [7] Some analytical results on bivariate stable distributions with an application in operational risk
    Tafakori, L.
    Bee, M.
    Soltani, A. R.
    [J]. QUANTITATIVE FINANCE, 2022, 22 (07) : 1355 - 1369
  • [8] Composite Tukey-type distributions with application to operational risk management
    Moestel, Linda
    Fischer, Matthias
    Pfeuffer, Marius
    [J]. JOURNAL OF OPERATIONAL RISK, 2024, 19 (01):
  • [9] Operational Risk Management Based on Bayesian MCMC
    Zou, Qingzhong
    Li, Jinlin
    Ran, Lun
    [J]. IACSIT-SC 2009: INTERNATIONAL ASSOCIATION OF COMPUTER SCIENCE AND INFORMATION TECHNOLOGY - SPRING CONFERENCE, 2009, : 236 - 239
  • [10] Study on operational risk management in commercial banks based on Bayesian networks
    Li, Bo
    Xu, Cong-wei
    Quan, Cong-na
    [J]. PROCEEDINGS OF 2008 INTERNATIONAL CONFERENCE ON RISK AND RELIABILITY MANAGEMENT, VOLS I AND II, 2008, : 110 - 113
12345