Copulas for Risk Management: in Financial Market - Softcover

Tseng, Chih-Hsueh

Softcover

ISBN 10: 3639133463 ISBN 13: 9783639133462

Publisher: VDM Verlag, 2009

Synopsis

Traditional correlation-based approach under normality to dependence modeling is no longer adequate, as dependence of extreme events must be modeled and the scale-invariant measures of dependence might be considered. With this problem in popularity has come a rise in the need for modeling multivariate dependence with various types of dependence structure. In recent years there has been increasing applications of copulas in many fields. The copula-based approach is implemented by specifying the margins and the dependence structure represented by a certain type of copula function. Firstly, the stable distribution is considered contrary to the customarily adopted ones on marginal specifications. Secondly, two elliptical copulas and three most commonly used families of Archimedean copulas are employed in parameter estimation and model selection. This book reviews some related academic literatures, gives references for further reading for methodology, provides financial applications of copulas in risk management, offers a many-faceted comparison and discussions on dependence modeling, and suggests some directions for further research.

About this title

About the Author

Chih-Hsueh Tseng (original name, Yi-Hao Tseng, was changed in September, 2008), Master (2007): Majored in Statistics at National Cheng Kung University, Tainan, Taiwan, R.O.C., Bachelor (2005): Majored in Applied Mathematics at National University of Kaohsiung, Kaohsiung, Taiwan, R.O.C..

Edition details

• Publisher: VDM Verlag
• Publication date: 2009
• Language: English
• ISBN 10: 3639133463
• ISBN 13: 9783639133462
• Binding: Paperback
• Number of pages: 100