Copulas provide us with a tool for constructing
multivariate distributions 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
dependence 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
describing 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.
Ik heb een vraag over het boek:
‘Copula Methods in Finance - Fredheim, Marius’.
Vul het onderstaande formulier in.
We zullen zo spoedig mogelijk antwoorden.
