| Title | Applications of copulas in loan modelling / |
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| Translation of Title | Jungčių taikymas paskolų modeliavime. |
| Authors | Buteikis, Andrius |
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| Pages | 41 |
| Keywords [eng] | Skaičiuojantieji duomenys, BINAR, Puasono, Neigiamas binominis skirstinys, jungtis, FGM jungtis, Frank jungtis, Clayton jungtis, Gumbel jungtis, Count data, BINAR, Poisson, Negative binomial distribution, Copula, FGM copula, Frank copula, Clayton copula, Gumbel copula |
| Abstract [eng] | Applications of Copulas in Loan Modelling. Copula applications for discrete data with autocorrelation are not widely studied. In this thesis, a bivariate integer-valued autoregressive process of order 1 (BINAR(1)) with copula-joint innovations is analysed. Model properties and their proofs are provided. Different estimation methods are analysed and comparisons are carried out via Monte Carlo simulations with emphasis on estimation of the copula dependence parameter. An empirical application on defaulted and non-defaulted loan daily data is carried out using different combinations of copula functions and marginal distribution functions covering the cases when both marginal distributions are from the same family and when they are from different distribution families. |
| Dissertation Institution | Vilniaus universitetas. |
| Type | Master thesis |
| Language | English |
| Publication date | 2016 |