Copula Methods in Finance by Marius Fredheim (English) Paperback Book

Description: Copula Methods in Finance by Marius Fredheim Copulas provide us with a tool for constructingmultivariate distributions with arbitrary marginaldistributions and a wide range of dependencestructures. The aim of this book is to describewhat the practitioner, or scientist, needs to knowabout copulas. Although the emphasis is on financialapplications, the general theory is relevant for anymultivariate setting.The outline of the book is as follows. Chapter 2 isa discussion of multivariate distribution functionsthat are useful for financial data. In chapter 3 weproceed with a discussion of commonly useddependence measures, and we highlight deficienciesof the correlation coefficient. We start chapter 4by describing the properties a general function mustsatisfy in order to be a copula, and goes on bydescribing the properties of the most commoncopulas. In chapter 5 we discuss the problem ofestimating the parameters in a copula, and in chapter6 we review the recent goodness-of-fit proceduressuggested in the literature. Chapter 7 is a shortreview of some of the main applications of copulasin relation to credit risk models. FORMAT Paperback LANGUAGE English CONDITION Brand New Publisher Description 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. Author Biography Marius Fredheim, M. Sc. Statistics, Actuary. Consultant at EMB Consultancy LLP. Details ISBN3639068149 Author Marius Fredheim Short Title COPULA METHODS IN FINANCE Pages 120 Language English ISBN-10 3639068149 ISBN-13 9783639068146 Media Book Format Paperback Year 2008 UK Release Date 2008-07-30 Imprint VDM Verlag Dr. Mueller E.K. Country of Publication Germany Illustrations black & white illustrations Publisher VDM Verlag Dr. Mueller E.K. Publication Date 2008-07-30 Audience General We've got this At The Nile, if you're looking for it, we've got it. With fast shipping, low prices, friendly service and well over a million items - you're bound to find what you want, at a price you'll love! TheNile_Item_ID:132586446;

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