Financial engineering with copulas explained

Financial engineering with copulas explained

by Mai, Jan-Frederik

Type Book
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"Financial Engineering with Copulas Explained is a reader-friendly, yet rigorous introduction to the state-of-the-art regarding the theory of copulas, their simulation and estimation, and their use in financial applications. Starting with an introduction to the basic notions, such as required definitions and dependence measures, the book looks at statistical issues comprising parameter estimation and stochastic simulation. The book will show, from a financial engineering perspective, how copula…

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Title Statements

  • Full title :Financial engineering with copulas explained / Jan-Frederik Mai (XAIA Investment, Munich, Germany) and Matthias Scherer (Technische Universität München, Germany).

Summary

"Financial Engineering with Copulas Explained is a reader-friendly, yet rigorous introduction to the state-of-the-art regarding the theory of copulas, their simulation and estimation, and their use in financial applications. Starting with an introduction to the basic notions, such as required definitions and dependence measures, the book looks at statistical issues comprising parameter estimation and stochastic simulation. The book will show, from a financial engineering perspective, how copula theory can be applied in the context of portfolio credit-risk modeling, and how it can help to derive model-free bounds for relevant risk measures. The book will cover numerous different market applications of copulas, and enable readers to construct stable, high-dimensional models for asset pricing and risk modeling."--

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Edition Statements

  • Publication Date:2014.

Publication Statements

  • Publisher(s):Palgrave Macmillan
  • Place of Publication:Houndmills, Basingstoke, Hampshire
  • Language:eng
  • Publication Date:2014.

Notes

Titre de l'écran-titre (visionné le 10 févr. 2016).

TRAITEMENT SOMMAIRE.

The Physical Object

  • Description:1 ressource en ligne

Edition Identifiers

  • ISBN:9781137346322, 1137346329, 9781137346315, 1137346310
  • oclc:ocn939499682
  • LC Classification:HG176.7
  • Dewey Decimal:519.5/35

Table of Contents

1. What are Copulas? -- 2. Which Rules for Handling Copulas Do I Need? -- 3. How to Measure Dependence? -- 4. What are Popular Families or Copulas? -- 5. How to Stimulate Multivariate Distributions? -- 6. How to Estimate Parameters of a Multivariate Model? -- 7. How to Deal with Uncertainty Concerning Dependence? -- 8. How to Construct a Portfolio-Default Model?

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Subjects

Copulas (Mathematical statistics) Copules (Statistique mathématique) e-books Financial Engineering Ingénierie financière Livres électroniques Livres numériques

Writers

Mai, Jan-Frederik Scherer, Matthias

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