Financial Engineering with Copulas Explained

2014. Auflage 2014
ISBN: 978-1-137-34630-8
Verlag: Palgrave MacMillan UK

Buch, Englisch, 150 Seiten, Format (B × H): 159 mm x 235 mm, Gewicht: 2642 g

Reihe: Financial Engineering Explained

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.

Zielgruppe

Research

Autoren/Hrsg.

Mai, J.

Scherer, M.

Fachgebiete

• Wirtschaftswissenschaften Finanzsektor & Finanzdienstleistungen Anlagen & Wertpapiere
• Wirtschaftswissenschaften Finanzsektor & Finanzdienstleistungen Finanzsektor & Finanzdienstleistungen: Allgemeines
• Wirtschaftswissenschaften Finanzsektor & Finanzdienstleistungen Bankwirtschaft
• Wirtschaftswissenschaften Betriebswirtschaft Management
• Interdisziplinäres Wissenschaften Wissenschaften: Forschung und Information Risikobewertung, Risikotheorie

Inhaltsverzeichnis

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?

Über Autor(innen)

Dr. Matthias Scherer is Professor of Mathematical Finance at the Technische Universität München, where he gives lectures in Mathematical Finance and Statistics. His research interests span Mathematical Finance, but focus on credit-risk analysis and the application of copulas. He holds a PhD from the University of Ulm, and a Masters in Mathematics from Syracuse University. Dr. Scherer has co-authored numerous articles on financial topics including dependence modeling and the book Simulating Copulas: Stochastic Models, Sampling Algorithms, and Applications.

Dr. Jan-Frederik Mai is Quantitative Analyst at XAIA Investment GmbH. He holds a PhD in Financial Mathematics from Technische Universität München and is co-author of numerous research articles in the field of dependence modeling and of the book Simulating Copulas: Stochastic Models, Sampling Algorithms, and Applications.