Add to ORKGThe Financial Risk Management (FRM) aims to identify, measure and manage risks in different sectors. One of the core things during such operations is measuring different dependencies. Linear correlation is known as one of the most popular measure of dependence, however it is known that it is a reasonable mea- sure of dependence only when variables are Normally distributed, but this is not the case with credit and portfolio risks, therefore other measures of dependency are needed. This paper presents a Copula function for bivariate case as one of the tools to analyze dependencies in portfolio risk management. Copulas were first introduced by Sklar in 1959 [8], and in 1999 they were studied in financial context for the first time by Embrechts...
D.Comm.Copulas provide a useful way to model different types of dependence structures explicitly. In...
An important issue in multivariate statistical modeling is the choice of the appropriate dependence ...
Copula modeling has been attracting substantial interest during the last several decades and is beco...
With hedgefunds, managers develop risk management models that mainly aim to play on the effect of d...
M.Sc.In this dissertation we take a closer look at how copulas can be used to improve the risk measu...
Past studies have shown that linear correlation measure may result in misleading interpretations and...
Past studies have shown that linear correlation measure may result in misleading interpretations and...
Copulas offer financial risk managers a powerful tool to model the dependence between the different ...
In recent times, increased dependence between markets and asset classes has rendered traditional tec...
In recent times, increased dependence between markets and asset classes has rendered traditional tec...
Past studies have shown that linear correlation measure may result in misleading interpretations and...
In financial risk management it is essential to be able to model dependence in markets and portfolio...
Understanding and quantifying dependence is at the core of all modelling efforts in the areas of ins...
In this paper we provide a review of copula theory with applications to finance. We illustrate the i...
D.Comm.Copulas provide a useful way to model different types of dependence structures explicitly. In...
D.Comm.Copulas provide a useful way to model different types of dependence structures explicitly. In...
An important issue in multivariate statistical modeling is the choice of the appropriate dependence ...
Copula modeling has been attracting substantial interest during the last several decades and is beco...
With hedgefunds, managers develop risk management models that mainly aim to play on the effect of d...
M.Sc.In this dissertation we take a closer look at how copulas can be used to improve the risk measu...
Past studies have shown that linear correlation measure may result in misleading interpretations and...
Past studies have shown that linear correlation measure may result in misleading interpretations and...
Copulas offer financial risk managers a powerful tool to model the dependence between the different ...
In recent times, increased dependence between markets and asset classes has rendered traditional tec...
In recent times, increased dependence between markets and asset classes has rendered traditional tec...
Past studies have shown that linear correlation measure may result in misleading interpretations and...
In financial risk management it is essential to be able to model dependence in markets and portfolio...
Understanding and quantifying dependence is at the core of all modelling efforts in the areas of ins...
In this paper we provide a review of copula theory with applications to finance. We illustrate the i...
D.Comm.Copulas provide a useful way to model different types of dependence structures explicitly. In...
D.Comm.Copulas provide a useful way to model different types of dependence structures explicitly. In...
An important issue in multivariate statistical modeling is the choice of the appropriate dependence ...
Copula modeling has been attracting substantial interest during the last several decades and is beco...