Abstract
Copula functions have been widely used in econometrics, finance, statistics, and social science for modeling dependence. Reference [42] presented the Bernstein copulas for approximating copula functions. Inspired by the Bernstein copula put forward by [42], reference [48] introduced a new copula function, named as composite Bernstein copula. The composite Bernstein copulas include Bernstein copulas as its special family. Following [48]’s work, [20] discussed the composite Bernstein copula from its generality, its probability structure, and its application in portfolio credit risk. This paper serves as a summary of main results in the above papers.
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