Binding: Paperback
Description: The modeling of dependence structures (or copulas) is undoubtedly one of the key challenges for modern financial engineering. First applied to credit - risk modeling copulas are now widely used across a range of derivatives transactions asset pricing techniques and risk models and are a core part of the financial engineer's toolkit. However by their very nature copulas are complex and their applications are often misunderstood. Incorrectly applied copulas can be hugely detrimental to a model or algorithm. Financial Engineering with Copulas Explained is a reader - friendly yet rigorous introduction to the state - of - the - art regarding the theory of copulas their simulation and estimation and their use in financial applications. Starting with an introduction to the basic notions such as required definitions and dependence measures the book looks at statistical issues comprising parameter estimation and stochastic simulation. The book will show from a financial engineering perspective how copula theory can be applied in the context of portfolio credit - risk modeling and how it can help to derive model - free bounds for relevant risk measures. The book will cover numerous different market applications of copulas and enable readers to construct stable high - dimensional models for asset pricing and risk modeling. Written to appeal to quantitatively minded practitioners across the trading floors and in risk management academics and students Financial Engineering with Copulas Explained will be a valuable accessible and practical guide to this complex topic.
Title: Financial Engineering With Copulas Explained
Author(s): Scherer M.
Publisher: Palgrave Macmillan
Barcode: 9781137346308
Pages: 150 Pages, Xxii, 150 P.
Publication Date: 10/2/2014
Series: Financial Engineering Explained
Category: Financial Services Industry