Adaptive Bernstein Copulas and Risk Management

Dietmar Pfeifer and Olena Ragulina

Papers from arXiv.org

Abstract: We present a constructive approach to Bernstein copulas with an admissible discrete skeleton in arbitrary dimensions when the underlying marginal grid sizes are smaller than the number of observations. This prevents an overfitting of the estimated dependence model and reduces the simulation effort for Bernstein copulas a lot. In a case study, we compare different approaches of Bernstein and Gaussian copulas w.r.t. the estimation of risk measures in risk management.

Date: 2020-11, Revised 2021-03
New Economics Papers: this item is included in nep-ecm and nep-rmg
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Published in Mathematics 2020, 8, 2221

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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:2011.00909

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