Dynamic Copula Methods in Finance, by Cherubini

Umberto Cherubini / Sabrina Mulinacci / Fabio Gobbi / Silvia Romagnoli / Sabrina Mulinacci / Umberto Cherubini / Fabio Gobbi / Silvia Romagnoli

Published by Wiley, 2011
ISBN 10: 0470683074 / ISBN 13: 9780470683071
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Synopsis: The latest tools and techniques for pricing and risk management

This book introduces readers to the use of copula functions to represent the dynamics of financial assets and risk factors, integrated temporal and cross-section applications. The first part of the book will briefly introduce the standard the theory of copula functions, before examining the link between copulas and Markov processes. It will then introduce new techniques to design Markov processes that are suited to represent the dynamics of market risk factors and their co-movement, providing techniques to both estimate and simulate such dynamics. The second part of the book will show readers how to apply these methods to the evaluation of pricing of multivariate derivative contracts in the equity and credit markets. It will then move on to explore the applications of joint temporal and cross-section aggregation to the problem of risk integration.

From the Back Cover: Over the course of the past decade financial markets have witnessed a marked increase in the use of correlation dynamics models – new terms such as correlation trading and correlation products have now become mainstream, and, increasingly, trading and investment activities have involved more and more exposure to credit risks that are non-Gaussian by definition. By addressing the restrictions which must be imposed on copula functions to yield dynamically consistent results this book sets out the latest research into the application of copula functions to the solution of financial problems.

Beginning with a review of the issues surrounding dependence and correlation in finance and the basic concepts of copulas as they have been applied to financial problems up until now, the book goes on to introduce the theory of convolution-based copulas, and the concept of C-convolution within the mainstream of the Darsow, Nguyen and Olsen (DNO) application of copulas to Markov processes. The authors explain how the c-convolution approach can be exploited to address both spatial and temporal dependence – a twofold perspective which is entirely new to these applications – and demonstrate how it can be applied to the problems of evaluating multivariate equity derivatives, analyzing the credit risk exposure of a portfolio, and aggregating Value-at-Risk measures across risk-factors and business units.

It shows the reader how to build original and consistent copula-based solutions to problems such as:

  • The evaluation of multivariate and path dependent equity linked derivatives consistently with the no-arbitrage requirement imposed by financial theory and the “fair value” principle
  • The evaluation of multivariate credit derivatives with a focus on the price consistency of contracts of different maturities
  • A consistent strategy for aggregation and allocation of risk capital across different risk factors and business units
  • A new copula-based approach to the performance analysis of mutual funds and hedge funds

The culmination of five years original research at the University of Bologna on the use of copulas in finance, this book is essential reading for practitioners involved in pricing and risk management.

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Title: Dynamic Copula Methods in Finance, by ...
Publisher: Wiley
Publication Date: 2011
Binding: Hardcover
Book Condition: Fair

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Book Description John Wiley and Sons Ltd, United Kingdom, 2011. Hardback. Book Condition: New. 1. Auflage. Language: English . Brand New Book. The latest tools and techniques for pricing and risk management This book introduces readers to the use of copula functions to represent the dynamics of financial assets and risk factors, integrated temporal and cross-section applications. The first part of the book will briefly introduce the standard the theory of copula functions, before examining the link between copulas and Markov processes. It will then introduce new techniques to design Markov processes that are suited to represent the dynamics of market risk factors and their co-movement, providing techniques to both estimate and simulate such dynamics. The second part of the book will show readers how to apply these methods to the evaluation of pricing of multivariate derivative contracts in the equity and credit markets. It will then move on to explore the applications of joint temporal and cross-section aggregation to the problem of risk integration. Bookseller Inventory # AAH9780470683071

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Book Description John Wiley and Sons Ltd, United Kingdom, 2011. Hardback. Book Condition: New. 1. Auflage. Language: English . Brand New Book. The latest tools and techniques for pricing and risk management This book introduces readers to the use of copula functions to represent the dynamics of financial assets and risk factors, integrated temporal and cross-section applications. The first part of the book will briefly introduce the standard the theory of copula functions, before examining the link between copulas and Markov processes. It will then introduce new techniques to design Markov processes that are suited to represent the dynamics of market risk factors and their co-movement, providing techniques to both estimate and simulate such dynamics. The second part of the book will show readers how to apply these methods to the evaluation of pricing of multivariate derivative contracts in the equity and credit markets. It will then move on to explore the applications of joint temporal and cross-section aggregation to the problem of risk integration. Bookseller Inventory # AAH9780470683071

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