2016-09-12
Distribution (Probability theory)
9783642354069
3642354068
Financial Economics.
Copulas (Mathematical statistics)
Economics -- Statistics.
Probability Theory and Stochastic Processes.
Statistics.
gw
Quantitative Finance.
Finance.
Statistics for Business/Economics/Mathematical Finance/Insurance.
9783642354076
3642354076
MATHEMATICS--Probability & Statistics--Multivariate Analysis
Durante
Fabrizio
Fabrizio Durante
Workshop "Copulae in Mathematical and Quantitative Finance" (2012 : Kraków, Poland)
0930-0325
Lecture notes in statistics,
2013
Conference publication
Conference papers and proceedings
851442803
Copulae in mathematical and quantitative finance : proceedings of the Workshop Held in Cracow, 10-11 July 2012
Congresses
Copulas are mathematical objects that fully capture the dependence structure among random variables and hence offer great flexibility in building multivariate stochastic models. Since their introduction in the early 1950s, copulas have gained considerable popularity in several fields of applied mathematics, especially finance and insurance. Today, copulas represent a well-recognized tool for market and credit models, aggregation of risks, and portfolio selection. Historically, the Gaussian copula model has been one of the most common models in credit risk. However, the recent financial crisis has underlined its limitations and drawbacks. In fact, despite their simplicity, Gaussian copula models severely underestimate the risk of the occurrence of joint extreme events. Recent theoretical investigations have put new tools for detecting and estimating dependence and risk (like tail dependence, time-varying models, etc) in the spotlight. All such investigations need to be further developed and promoted, a goal this book pursues. The bookincludes surveys that provide an up-to-date account of essential aspects of copula models in quantitative finance, as well as the extended versions of talks selected from papers presented at the workshop in Cracow.
en
Electronic books
851442803
Lecture notes in statistics (Springer-Verlag) ;
Mathematics
Kraków, Poland)
Jaworski
Piotr
Andrzej Piotr
Andrzej Piotr Jaworski
Härdle
Wolfgang
Wolfgang Härdle