DocumentCode
476072
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
Volume
3
fYear
2008
fDate
12-15 July 2008
Firstpage
1489
Lastpage
1493
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;
fLanguage
English
Publisher
ieee
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
Type
conf
DOI
10.1109/ICMLC.2008.4620641
Filename
4620641
Link To Document