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Yilin Li
3Publications
2H-index
11Citations
Publications 3
Newest
#1Xiaoqian ZhuH-Index: 7
#2Yilin LiH-Index: 2
Last.Dengsheng WuH-Index: 10
view all 5 authors...
Abstract In this paper, a change point detection approach based on copula with two notable advantages is put forward. One is that the approach can deal with the common but special unbalanced panel data. The other is that it can detect multiple change points. Firstly, a proper copula that most accurately describes the dependence structure of the data is chosen. Then, the chosen copula is fitted to the data dynamically by adding new data. Finally, the change points are located by analyzing the tre...
#1Changzhi Liang (CAS: Chinese Academy of Sciences)H-Index: 5
#2Xiaoqian Zhu (CAS: Chinese Academy of Sciences)H-Index: 7
Last.Jianping LiXiaolei (CAS: Chinese Academy of Sciences)H-Index: 19
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Abstract This paper presents a factor copula model for the integration of Chinese commercial banks’ credit risk and market risk. By defining the dependence structure through a set of common factors reflecting the macro-economic situation, this model reveals the intrinsic correlation between credit risk and market risk. We derive the integration process with factor copula and generate common factors by performing a principal component analysis on 4 different macro-economic indicators that have im...
#1Xiaoqian ZhuH-Index: 7
#2Yilin LiH-Index: 2
Last.Dengsheng WuH-Index: 10
view all 5 authors...
In this paper, a change point detection approach based on copula with two notable advantages is put forward. One is that the approach can deal with the common but special unbalanced panel data. The other is that it can detect multiple change points. Firstly, a proper copula that most accurately describes the dependence structure of the data is chosen. Then, the chosen copula is fitted to the data dynamically by adding new data. Finally, the change points are located by analyzing the trends of fi...
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