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Financial Engineering with Copulas Explained
ISBN-13:
9781137346315
Veröffentl:
2014
Seiten:
150
Autor:
J. Mai
Serie:
Financial Engineering Explained
eBook Typ:
PDF
eBook Format:
EPUB
Kopierschutz:
1 - PDF Watermark
Sprache:
Englisch
Beschreibung:
This is a succinct guide to the application and modelling of dependence models or copulas in the financial markets. First applied to credit risk modelling, copulas are now widely used across a range of derivatives transactions, asset pricing techniques and risk models and are a core part of the financial engineer's toolkit.
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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