Recent experience with the use of Chimera for vine copula modelling and future challenges

Vine copulas are sequences of trees used to represent graphically multivariate probability distributions constructed from bivariate components. Chimera is the name of the catalogue developed at TU Delft, containing all possible tree sequences with up to 8 nodes. The catalogue is presented in a database consisting of more than 663 million matrices. In this paper, we succinctly review the development of Chimera, illustrate recent research using it for simulation studies, and highlight future research directions, also involving simulation studies. We conclude by discussing its potential significance for advancing risk and reliability analysis.

Keywords: Vine copula, Chimera, risk, reliability.