Financial Engineering with Copulas Explained
(Sprache: Englisch)
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...
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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.
Inhaltsverzeichnis zu „Financial Engineering with Copulas Explained “
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?
Autoren-Porträt von J. Mai, M. Scherer
Jan-Frederik Mai and Matthias Scherer
Bibliographische Angaben
- Autoren: J. Mai , M. Scherer
- 2014, 2014., 150 Seiten, Masse: 15,5 x 23,1 cm, Kartoniert (TB), Englisch
- Verlag: Palgrave Macmillan
- ISBN-10: 1137346302
- ISBN-13: 9781137346308
- Erscheinungsdatum: 02.10.2014
Sprache:
Englisch
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