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  • Open Daily: 10am - 10pm
    Alley-side Pickup: 10am - 7pm

    3038 Hennepin Ave Minneapolis, MN
    612-822-4611

Open Daily: 10am - 10pm | Alley-side Pickup: 10am - 7pm
3038 Hennepin Ave Minneapolis, MN
612-822-4611
Copula Methods in Finance

Copula Methods in Finance

Fredheim, Marius

Paperback

Business General

ISBN10: 3639068149
ISBN13: 9783639068146
Publisher: Blues Kids Of Amer
Published: Jul 30 2008
Pages: 120
Weight: 0.38
Height: 0.25 Width: 6.00 Depth: 9.00
Language: English
Copulas provide us with a tool for constructing multivariate distri-butions with arbitrary marginal distributions and a wide range of dependence structures. The aim of this book is to describe what the practitioner, or scientist, needs to know about copulas. Although the emphasis is on financial applications, the general theory is relevant for any multivariate setting. The outline of the book is as follows. Chapter 2 is a discussion of multivariate distribution functions that are useful for financial data. In chapter 3 we proceed with a discussion of commonly used depen-dence measures, and we highlight deficiencies of the correlation coefficient. We start chapter 4 by describing the properties a general function must satisfy in order to be a copula, and goes on by des-cribing the properties of the most common copulas. In chapter 5 we discuss the problem of estimating the parameters in a copula, and in chapter 6 we review the recent goodness-of-fit procedures suggested in the literature. Chapter 7 is a short review of some of the main applications of copulas in relation to credit risk models.

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