Electronic Resource

Copulae in mathematical and quantitative finance : proceedings of the workshop held in Cracow, 10-11 july 2012

---

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 book includes 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.

---

Ketersediaan

Informasi Detail

Judul Seri

-

No. Panggil

E807

Penerbit

Jerman : Springer Berlin, Heidelberg., 2013

Deskripsi Fisik

xii, 294 hlm.

Bahasa

English

ISBN/ISSN

9783642354076

Klasifikasi

NONE

Tipe Isi

text

Tipe Media

computer

Tipe Pembawa

online resource

Edisi

Ed.1

Subjek

Statistik

Info Detail Spesifik

-

Pernyataan Tanggungjawab

Piotr Jaworski, Fabrizio Durante, Wolfgang Karl Härdle

Versi lain/terkait

Lampiran Berkas

Komentar

---

Anda harus masuk sebelum memberikan komentar