{"created":"2023-05-15T15:26:52.103173+00:00","id":15043,"links":{},"metadata":{"_buckets":{"deposit":"7dc7beb2-17df-4e45-a1b6-e4f35775ad56"},"_deposit":{"created_by":15,"id":"15043","owners":[15],"pid":{"revision_id":0,"type":"depid","value":"15043"},"status":"published"},"_oai":{"id":"oai:sucra.repo.nii.ac.jp:00015043","sets":["85:359"]},"author_link":["25271","25272"],"item_120_biblio_info_8":{"attribute_name":"書誌情報","attribute_value_mlt":[{"bibliographicIssueDates":{"bibliographicIssueDate":"2013-02","bibliographicIssueDateType":"Issued"},"bibliographicIssueNumber":"4","bibliographicPageEnd":"46","bibliographicPageStart":"0","bibliographic_titles":[{"bibliographic_title":"Working Paper Series","bibliographic_titleLang":"en"}]}]},"item_120_date_31":{"attribute_name":"作成日","attribute_value_mlt":[{"subitem_date_issued_datetime":"2013-02-12","subitem_date_issued_type":"Created"}]},"item_120_description_19":{"attribute_name":"概要","attribute_value_mlt":[{"subitem_description":"When we measure the market risk of a portfolio with multiple of risk factors, we, sometimes implicitly, deal with the risk factors' joint distribution. However, only a few methods are available to render tractable forms of multivariate distributions for risk aggregation.\nThis paper discusses approximation techniques using the Hermite expansion for marginal and joint density functions. These techniques (or expansion methods) approximate probability density functions by a sum of Hermite polynomials multiplied by the associated weight function. The advantage of the use of expansion methods is that they only require the moments of the target distributions up to some nite degree, assuming they exist.\nThe biggest shortcoming of the expansion methods is their poor approximation quality. This paper introduces techniques to redeem this problem, and considers application to risk aggregation. We also approximate joint density functions and show that expansion methods are applicable to approximating conditional expectations and copula density functions. Numerical examples for bivariate cases show that our approximations can capture characteristics of original observations. Such techniques may facilitate the further investigation of non-linear dependence structures among risk factors in the nancial markets.","subitem_description_language":"en","subitem_description_type":"Other"}]},"item_120_description_29":{"attribute_name":"資源タイプ","attribute_value_mlt":[{"subitem_description":"text","subitem_description_type":"Other"}]},"item_120_description_30":{"attribute_name":"フォーマット","attribute_value_mlt":[{"subitem_description":"application/pdf","subitem_description_type":"Other"}]},"item_120_identifier_registration":{"attribute_name":"ID登録","attribute_value_mlt":[{"subitem_identifier_reg_text":"10.24561/00015037","subitem_identifier_reg_type":"JaLC"}]},"item_120_publisher_11":{"attribute_name":"出版者名","attribute_value_mlt":[{"subitem_publisher":"埼玉大学経済学部","subitem_publisher_language":"ja"}]},"item_120_publisher_12":{"attribute_name":"出版者名（別言語）","attribute_value_mlt":[{"subitem_publisher":"Faculty of Economics. Saitama University","subitem_publisher_language":"en"}]},"item_120_source_id_14":{"attribute_name":"収録物識別子","attribute_value_mlt":[{"subitem_source_identifier":"21868611","subitem_source_identifier_type":"ISSN"},{"subitem_source_identifier":"AA12600124","subitem_source_identifier_type":"NCID"}]},"item_120_text_27":{"attribute_name":"版","attribute_value_mlt":[{"subitem_text_value":"[出版社版]"}]},"item_120_text_3":{"attribute_name":"著者 ローマ字","attribute_value_mlt":[{"subitem_text_language":"en","subitem_text_value":"MARUMO, Kohei"}]},"item_120_text_32":{"attribute_name":"アイテムID","attribute_value_mlt":[{"subitem_text_value":"KY-21868611-04-01"}]},"item_120_text_4":{"attribute_name":"著者 所属","attribute_value_mlt":[{"subitem_text_language":"ja","subitem_text_value":"埼玉大学経済学部"},{"subitem_text_language":"en","subitem_text_value":"WH Bryan Mining and Geology Research Centre, The University of Queensland Australia"}]},"item_120_text_5":{"attribute_name":"著者 所属(別言語)","attribute_value_mlt":[{"subitem_text_language":"en","subitem_text_value":"Faculty of Economics, Saitama University"}]},"item_120_text_9":{"attribute_name":"年月次","attribute_value_mlt":[{"subitem_text_value":"2013-2"}]},"item_120_version_type_28":{"attribute_name":"出版タイプ","attribute_value_mlt":[{"subitem_version_resource":"http://purl.org/coar/version/c_970fb48d4fbd8a85","subitem_version_type":"VoR"}]},"item_creator":{"attribute_name":"著者","attribute_type":"creator","attribute_value_mlt":[{"creatorNames":[{"creatorName":"丸茂, 幸平","creatorNameLang":"ja"},{"creatorName":"マルモ, コウヘイ","creatorNameLang":"ja-Kana"}],"nameIdentifiers":[{},{}]},{"creatorNames":[{"creatorName":"WOLFF, Rodney","creatorNameLang":"en"}],"nameIdentifiers":[{}]}]},"item_files":{"attribute_name":"ファイル情報","attribute_type":"file","attribute_value_mlt":[{"accessrole":"open_date","date":[{"dateType":"Available","dateValue":"2018-01-24"}],"displaytype":"detail","filename":"KY-21868611-04-01.pdf","filesize":[{"value":"1.6 MB"}],"format":"application/pdf","licensetype":"license_note","mimetype":"application/pdf","url":{"label":"KY-21868611-04-01.pdf","objectType":"fulltext","url":"https://sucra.repo.nii.ac.jp/record/15043/files/KY-21868611-04-01.pdf"},"version_id":"5b11fe32-cc6e-47ba-9b26-8317af8faee6"}]},"item_keyword":{"attribute_name":"キーワード","attribute_value_mlt":[{"subitem_subject":"Conditional expectations","subitem_subject_language":"en","subitem_subject_scheme":"Other"},{"subitem_subject":"Copulas","subitem_subject_language":"en","subitem_subject_scheme":"Other"},{"subitem_subject":"Hermite polynomials","subitem_subject_language":"en","subitem_subject_scheme":"Other"},{"subitem_subject":"Orthogonal expansion","subitem_subject_language":"en","subitem_subject_scheme":"Other"},{"subitem_subject":"Smoothing methods","subitem_subject_language":"en","subitem_subject_scheme":"Other"}]},"item_language":{"attribute_name":"言語","attribute_value_mlt":[{"subitem_language":"eng"}]},"item_resource_type":{"attribute_name":"資源タイプ","attribute_value_mlt":[{"resourcetype":"departmental bulletin paper","resourceuri":"http://purl.org/coar/resource_type/c_6501"}]},"item_title":"A Non-parametric Method for Approximating Joint Densities and Copula Functions for Financial Markets","item_titles":{"attribute_name":"タイトル","attribute_value_mlt":[{"subitem_title":"A Non-parametric Method for Approximating Joint Densities and Copula Functions for Financial Markets","subitem_title_language":"en"}]},"item_type_id":"120","owner":"15","path":["359"],"pubdate":{"attribute_name":"PubDate","attribute_value":"2013-02-12"},"publish_date":"2013-02-12","publish_status":"0","recid":"15043","relation_version_is_last":true,"title":["A Non-parametric Method for Approximating Joint Densities and Copula Functions for Financial Markets"],"weko_creator_id":"15","weko_shared_id":-1},"updated":"2023-09-08T06:09:36.128152+00:00"}