[ABE-L] Fwd: Seminário de Probabilidade - IM-UFRJ - 6 de maio (segunda-feira)

[Maria Eulalia Vares]

Dear colleagues,

Our next seminar will be held on Monday, *May 6*, from *3:30 p.m. to 4:30
p.m*. (Rio de Janeiro local time).  This meeting will take place at room *C116
- Bloco C - CT** – Instituto de Matemática – UFRJ. *There will be no
transmission online.



Speaker: *   Rodrigo dos Santos Targino (FGV-EMap)*

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.



More complete information about the seminars can be found at

http://www.dme.ufrj.br/?page_id=3481

Sincerely,

Organizers: Giulio Iacobelli and Maria Eulalia Vares
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