Emmanuel Gobet EVA Talk Preview
From Anna Munro on May 25th, 2021
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Name: Emmanuel Gobet
Talk Title: Transform MCMC schemes for sampling intractable factor copula models
Abstract: In financial risk management, modelling dependency within a random vector is crucial and a standard approach is the use of a copula model. A flexible family of copulas, known as the factor copulas, is formed by the copulas extracted from factor models. Sampling from a factor copula is equivalent to sampling from the factor model and applying the cumulative distribution function (c.d.f.) to each component of the sample. Nonetheless, in many models of interest the c.d.f.'s are not explicitly known. In this talk I'll present theoretical and numerical properties of a transform Markov Chain Monte Carlo (MCMC) scheme developed to efficiently compute expectations conditional to rare events in which the unconditional distribution is given by an intractable factor copula. (Joint work with Cyril Benezet and Rodrigo Targino)
This talk is an invited talk at EVA 2021. View the programme here.