Title :
The research of copula theoryin in financial risk management
Author :
Chai, Wen-yi ; Zhu, Yu ; Hou, Zhi-qiang
Author_Institution :
Sch. of Stat., Remin Univ. of China, Beijing
Abstract :
Copulas are extremely versatile, and can be used as an analytical tool in a broad range of financial situations such as risk estimation, credit modeling, pricing derivatives, and portfolio management. The literature on copula is mostly devoted to probabilistic theory, to inference methods or to applications in financial risk management. The thesis presents a combination of these three aspects.
Keywords :
financial management; probability; risk management; copula theory; credit modeling; financial risk management; portfolio management; pricing derivatives; probabilistic theory; risk estimation; Cybernetics; Distribution functions; Finance; Machine learning; Macroeconomics; Microeconomics; Portfolios; Pricing; Risk management; Statistical analysis; Copula; Estimation; Risk management;
Conference_Titel :
Machine Learning and Cybernetics, 2008 International Conference on
Conference_Location :
Kunming
Print_ISBN :
978-1-4244-2095-7
Electronic_ISBN :
978-1-4244-2096-4
DOI :
10.1109/ICMLC.2008.4620641
