Financial Engineering with Copulas Explained

doi:https://doi.org/10.1057/9781137346315

Financial Engineering with Copulas Explained

Jan-Frederik Mai,Matthias Scherer-2014-01-01-Palgrave Macmillan UK eBooks

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TL;DRAbstract

This is a succinct guide to the application and modelling of dependence models or copulas in the financial markets. First applied to credit risk modelling, copulas are now widely used across a range o

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This is a succinct guide to the application and modelling of dependence models or copulas in the financial markets. First applied to credit risk modelling, copulas are now widely used across a range o

Keywords

Copula (linguistics)Financial marketRange (aeronautics)EconometricsCredit riskModel riskEconomicsFinancial engineering

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