New copula modesl for survival and ordered data

Research Project

Project/Area Number	24530227
Research Category	Grant-in-Aid for Scientific Research (C)
Allocation Type	Multi-year Fund
Section	一般
Research Field	Economic statistics
Research Institution	Yokohama National University
Principal Investigator	KOBAYASHI Masahito 横浜国立大学, 国際社会科学研究院, 教授 (60170354)
Project Period (FY)	2012-04-01 – 2015-03-31
Project Status	Completed (Fiscal Year 2014)
Budget Amount *help	¥5,070,000 (Direct Cost: ¥3,900,000、Indirect Cost: ¥1,170,000) Fiscal Year 2014: ¥1,560,000 (Direct Cost: ¥1,200,000、Indirect Cost: ¥360,000) Fiscal Year 2013: ¥1,170,000 (Direct Cost: ¥900,000、Indirect Cost: ¥270,000) Fiscal Year 2012: ¥2,340,000 (Direct Cost: ¥1,800,000、Indirect Cost: ¥540,000)
Keywords	copula / 柔軟性 / Value at Risk / Expected Shortfall / Gaussian copula / 裾依存性 / 生存分析 / 状態空間モデル / 非線形モデル / 粒子フィルター / 競合リスクモデル / 仮説検定 / モンテカルロ実験
Outline of Final Research Achievements	We propose a new parametric copula that has more variability of asymmetry and tail dependence than conventional copulas. Then we can analyze survival analysis, credit ratings , Value at Risks, and Expected shortfall by a single family of copula, without being bothered with the choice of appropriate copulas.