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

页码：105 / 108

页数：4

共 47 条

[31] Iterative bayesian estimation of navigation performance modeled by a mixture of Gaussian and laplace distributions for the application of collision risk modeling
Fujita, Masato
[J]. Fujita, M., 1600, Japan Society for Aeronautical and Space Sciences (56): : 253 - 260
[32] Operational Risk Management in Maritime Transport: Tools, Trends, Methodology and Application to Dry Bulk Shipping
Thai, Vinh V.
[J]. ASIAN JOURNAL OF SHIPPING AND LOGISTICS, 2011, 27 (03): : 501 - 505
[33] Mathematics in Credit Risk Management: Some Issues in the CreditMetrics Model Application
Tao, Qingmei
[J]. NFD 2010: INTERNATIONAL CONFERENCE ON NETWORK AND FINANCE DEVELOPMENT, 2010, : 93 - 95
[34] Application of the radial basis function in solving an operational risk management model: investigating the probability of bank survival with risk reserves
Rasouli, Mansoureh
Araghi, Mohammad Ali Fariborzi
Damercheli, Tayebe
[J]. JOURNAL OF OPERATIONAL RISK, 2023, 18 (02): : 59 - 76
[35] Bayesian Networks-based Shield TBM Risk Management System: Methodology Development and Application
Heeyoung Chung
In-Mo Lee
Jee-Hee Jung
Jeongjun Park
[J]. KSCE Journal of Civil Engineering, 2019, 23 : 452 - 465
[36] Bayesian estimation of realized GARCH-type models with application to financial tail risk management
Chen, Cathy W. S.
Watanabe, Toshiaki
Lin, Edward M. H.
[J]. ECONOMETRICS AND STATISTICS, 2023, 28 : 30 - 46
[37] Reinforced concrete corrosion: Application of Bayesian Networks to the risk management of cooling towers in nuclear plants
Capra, B.
Le Drogo, J.
[J]. RISK, RELIABILITY AND SOCIETAL SAFETY, VOLS 1-3: VOL 1: SPECIALISATION TOPICS; VOL 2: THEMATIC TOPICS; VOL 3: APPLICATIONS TOPICS, 2007, : 2195 - 2202
[38] Developing fuzzy logic strength of evidence index and application in Bayesian networks for system risk management
Lu, Liangliang
Goerlandt, Floris
Banda, Osiris A. Valdez
Kujala, Pentti
[J]. EXPERT SYSTEMS WITH APPLICATIONS, 2022, 192
[39] Bayesian Networks-based Shield TBM Risk Management System: Methodology Development and Application
Chung, Heeyoung
Lee, In-Mo
Jung, Jee-Hee
Park, Jeongjun
[J]. KSCE JOURNAL OF CIVIL ENGINEERING, 2019, 23 (01) : 452 - 465
[40] An assessment of the efficiency of operational risk management in Taiwan's banking industry: an application of the stochastic frontier approach
Liu, Hsiang-Hsi
Cortes, Mauricio
[J]. JOURNAL OF OPERATIONAL RISK, 2015, 10 (01): : 127 - 156

← 1 2 3 4 5 →