Publications (20)
ARTICLE
Flexible Dependence Modeling for VaR Using Bernstein’s Copula
Vini Yves Bernadin Loyara, Fabrice Ouoba Kpèbbèwèrè Cédric Somé , Remi Guillaume Bagré and Diakarya Barro
In this work, we establish theoretical and numerical links between the Bernstein copula, the Bernstein polynomial, and Value at Risk (VaR) in the context of dependence approximation in financial risk. Thanks to the smoothing induced by this copula, we express the portfolio VaR as the quantile of an approximate joint distribution, highlighting(...)
copulas, Bernstein copula; multivariate dependence; degree of discor- dance; value-at-Risk; Bienaymé-Tchebychev inequality.
COMMUNICATION
Copula of Bernstein and degree of discordance
Vini Yves Bernadin LOYARA, Fabrice OUOBA and Remi Guillaume BAGRE
L'expression analytique du degré de discordance multivariée en probabilités présente une grande élégance mathématique. C'est pourquoi nous nous sommes intéressés au degré de discordance. De plus, en travaillant sur cette expression, une application à la copule de Bernstein est apparue plus. Nous avons donc modélisé l'expression de la copule de(...)
copulas, multivariate dependence, degree of discordance, logistics model
ARTICLE
Asymptotic convergence of the extremes of a geometric random variables sequence
Frédéric Béré, Caleb-Rodolphe Bazié and Vini Yves Bernadin Loyara
In this paper, we give some contributions to the analysis of the behavior of the extremes of a category of random variables (r.v.) of geometric type. First, we exhibit a subsequence making certain r.v. of integer part converge. Then we prove the convergence in law of extremes of a sequence of geometric type r.v. Finally, we prove the mean conv(...)
geometric random variable, asymptotic law of extremes, convergent subsequence, functional convergence.
COMMUNICATION
Applying Fisher’s and Student’s Laws in Probability Density Function Calculation Methods Proceedings
LOYARA Vini Yves Bernadin, OUOBA Fabrice, BAGRE Réni Guillaume
The purpose of this paper is to discover a method for creating joint distributions that establishes a solid foundation for a new distribution model. The technique used to design a joint distribution is through the use of the mathematical expectation of an application with two variables. We obtain new joint probability density functions using(...)
probability density function, Fisher distribution, Student distribution
ARTICLE
APPLYING FISHER’S AND STUDENT’S LAWS IN PROBABILITY DENSITY FUNCTION CALCULATION METHODS
LOYARA Vini Yves Bernadin, OUOBA Fabrice et BAGRE Rémi Guillaume
The purpose of this paper is to discover a method for creating joint distributions that establishes a solid foundation for a new distribution model. The technique used to design a joint distribution is through the use of the mathematical expectation of an application with two variables. We obtain new joint probability density functions using t(...)
probability density function, Fisher distribution, Student distribution
ARTICLE
Advanced dependence metrics and tail coefficients in a bounded copula construction
HERMAN TIEMTORÉ , REMI GUILLAUME BAGRÉ, AND VINI YVES BERNADIN LOYARA
In this work, we study some properties of the family of copulas introduced previously by Bagré et al. We discuss from dependence metrics such as Spearman's rho, the medial correlation coefficient and distances separating this family of copulas from the Fréchet bounds (lower and upper bounds) and the product copula, respectively. The tail coeff(...)
Copula, Copula with horizontal or vertical section of a homographic function, Tail coefficients, Dependence metrics
ARTICLE
Hydrogeochemical Processes in Basement Areas Using Principal Component in Burkina Faso (West African Sahel)
Moussa Diagne Faye , Vini Yves Bernadin Loyara , Amadou Keita , Mamadou Diop , Angelbert Chabi Biaou , Mahamadou Koita, Hamma Yacouba
The basement aquifers in Burkina Faso are increasingly exposed to groundwater pollution, largely due to socio-economic activities and climatic fluctuations, particularly the reduction in rainfall. This pollution makes the management and understanding of these aquifers particularly complex. To elucidate the processes controlling this contaminat(...)
Groundwater; Hydrogeochemistry; Spatial Analysis; Principal Component Analysis
ARTICLE
COPULA OF BERNSTEIN AND DEGREE OF DISCORDANCE
Vini Yves Bernadin LOYARA, Fabrice OUOBA et Rémi Guillaume BAGRE
The analytical expression for the degree of multivariate discordance in probability has a high level of mathematical elegance. This is why we were interested in the degree of discrepancy. In addition, while working on this expression, an application to the Bernstein copula appeared more accessible. We therefore modeled the expression for the B(...)
copulas, multivariate dependence, degree of discordance, logistics model
ARTICLE
CONSTRUCTION OF A CLASS OF COPULAS WITH HORIZONTAL OR VERTICAL SECTION OF A HOMOGRAPHIC FUNCTION
Herman Tiemtoré, Bagre Remi Guillaume, Loyara Vini Yves Bernadin
The construction of multivariate distributions with arbitrary margins has been a problem of interest to statisticians for many years, but nowadays, by virtue of Sklar’s theorem, this problem can be reduced to the construction of a copula. However, there is no general method for constructing a copula. In order to provide a partial solution to t(...)
copulas, AMH copula, horizontal section, vertical section
ARTICLE
Links between the Incomplete Gamma Function and the Independent and Gumbel Copulas
Loyara Vini Yves Bernadin, Bagre Remi Guillaume, Bere Frédéric
To obtain the links between the incomplete gamma function and the two copulas (independent and Gumbel). We went through some integral function transformations. The transformations used are Laplace, Fourier, and Mellin. Our work can be seen as a bridge between the notion of copula in probability and Euler’s gamma function which has a lot of app(...)
Copule, VaR, Fonction Gamma, Tansformation intégrale
ARTICLE
Modelling groundwater pollutant transfer mineral micropollutants in a multi-layered aquifer in Burkina Faso (West African Sahel)
Moussa Diagne Faye , Vini Yves Bernadin Loyara , Angelbert Chabi Biaou , Roland Yonaba , Mahamadou Koita , Hamma Yacouba
In Burkina Faso, human activities around water points in rural areas affect groundwater resources, which become unfit for consumption. Nearly 33.5% of boreholes are subject to point source pollution. The assessment of the evolution of such pollution should be monitored to assess groundwater quality. In addition, withdrawals for irrigation alon(...)
Statistique Inférentielle, Groundwater modelling Micropollutants, MT3D, Multi-layered aquifer, Water quality
COMMUNICATION
Copules multivariées et modélisation de risques de portefeuille
Vini Yves Bernadin LOYARA
L’objectif principal de cette communication est l’étude des mesures de risque et leurs applications en gestion de portefeuille . Pour ce faire, nous avons utilisé un outil de la théorie des probabilités : la copule. Une nouvelle relation a été établie par l’intermédiaire de la VaR et de ses mesures dérivées. Nous avons utilisé le produit scal(...)
Copules, VaR, Portefeuille
ARTICLE
FINITE TIME RUIN PROBABILITY IN MULTIVARIATE PERTURBED RENEWAL RISK MODEL
Frédéric Béré, Remi Guillaume Bagré, Vini Yves Bernadin Loyara and Pierre Clovis Nitiéma
This paper contributes to the approach of the bivariate risk of ruin in finite time. We deal with a problem of risk of occurrence of a claim from the Cramer-Lundberg model in which there is some by-claim (more or less zero) integrating a Brownian oscillation at the level of the reserve at a given time t.
stable distribution, Brownian perturbation, by-claim, heavy tail distribution, renewal equation, copulas, classical risk model of ruin
ARTICLE
STOCHASTIC INCREASE IN CDS AND CDO PORTFOLIO PREMIUMS
Vini Yves Bernadin Loyara, Remi Guillaume Bagré, Frédéric Béré and Diakarya Barro
This paper deals with the family of nested Archimedean copulas in sampling financial risk factors. We propose the fourth and fifth orders of extensions of nested Archimedean copulas. Some tests of simulations on the functional are made for the risk factors. The CDS portfolio and discount factors are clarified while the cash portion of annualiz(...)
Archimedean copulas, nested Archimedean copulas, portfolio risk, CDO pricing, expected premiums, CDS portfolio, default premiums, default premiums
ARTICLE
Estimated of COVID-19 Sampling Mean in Burkina Faso
Vini Yves Bernadin LOYARA, Remi Guillaume BAGRE Frédric BERE
Our objective in the development of this document, was to establish an estimate of the average of di erent variables in particular, the case of daily contamination of covid-19, the case of recovery and finally the case of lethality of COVID-19 in Burkina to give an idea of the real rate of contamination in Burkina Faso. To achieve this objecti(...)
Estimation, Moyenne, COVID-19