Copulas: from theory to application in finance
Gespeichert in:
| Format: | Buch |
|---|---|
| Sprache: | English |
| Veröffentlicht: |
London
Risk Books
2007
|
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis Klappentext |
| Beschreibung: | XVIII, 300 S. graph. Darst. |
| ISBN: | 190433945X 9781904339458 |
Internformat
MARC
| LEADER | 00000nam a2200000 c 4500 | ||
|---|---|---|---|
| 001 | BV022545438 | ||
| 003 | DE-604 | ||
| 005 | 20080221 | ||
| 007 | t | ||
| 008 | 070806s2007 d||| |||| 00||| eng d | ||
| 020 | |a 190433945X |9 1-904339-45-X | ||
| 020 | |a 9781904339458 |9 978-1-904339-45-8 | ||
| 035 | |a (OCoLC)77495076 | ||
| 035 | |a (DE-599)OBVAC05798356 | ||
| 040 | |a DE-604 |b ger |e rakwb | ||
| 041 | 0 | |a eng | |
| 049 | |a DE-29T |a DE-355 |a DE-19 |a DE-70 |a DE-11 | ||
| 050 | 0 | |a HG106 | |
| 082 | 0 | |a 519.535 |2 22 | |
| 084 | |a QP 890 |0 (DE-625)141965: |2 rvk | ||
| 245 | 1 | 0 | |a Copulas |b from theory to application in finance |c ed. by Jörn Rank |
| 264 | 1 | |a London |b Risk Books |c 2007 | |
| 300 | |a XVIII, 300 S. |b graph. Darst. | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b n |2 rdamedia | ||
| 338 | |b nc |2 rdacarrier | ||
| 650 | 4 | |a Mathematisches Modell | |
| 650 | 4 | |a Copulas (Mathematical statistics) | |
| 650 | 4 | |a Finance |x Mathematical models | |
| 650 | 0 | 7 | |a Finanzmathematik |0 (DE-588)4017195-4 |2 gnd |9 rswk-swf |
| 650 | 0 | 7 | |a Kopula |g Mathematik |0 (DE-588)4529954-7 |2 gnd |9 rswk-swf |
| 689 | 0 | 0 | |a Kopula |g Mathematik |0 (DE-588)4529954-7 |D s |
| 689 | 0 | 1 | |a Finanzmathematik |0 (DE-588)4017195-4 |D s |
| 689 | 0 | |5 DE-604 | |
| 700 | 1 | |a Rank, Jörn |e Sonstige |4 oth | |
| 856 | 4 | 2 | |m Digitalisierung UB Regensburg |q application/pdf |u http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=015751819&sequence=000003&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |3 Inhaltsverzeichnis |
| 856 | 4 | 2 | |m Digitalisierung UB Regensburg |q application/pdf |u http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=015751819&sequence=000004&line_number=0002&func_code=DB_RECORDS&service_type=MEDIA |3 Klappentext |
| 999 | |a oai:aleph.bib-bvb.de:BVB01-015751819 | ||
Datensatz im Suchindex
| _version_ | 1804136660787527680 |
|---|---|
| adam_text | Contents
About the Editor
vii
List of Contributors
ix
Introduction
xv
Jörn
Rank
d-fine GmbH
PART I: INTRODUCTION TO COPULAS
1
Coping with Copulas
3
Thorsten
Schmidt
University of Leipzig
2
The Estimation of Copulas: Theory and Practice
35
Arthur
Charpentier;
Jean-David Fermanian;
Olivier Scaillet
Ensae-Crest and
Katholieke Universiteit Leuven; BNP
Paribas
and Crest;
НЕС
Genève
and Swiss Finance Institute
PART II: ECONOMIC CAPITAL/RISK AGGREGATION
3
Numerical Methods for Risk Aggregation based on Copulas
63
Christian Griindl,
Holger
Heumann; David Peretti;
Christian Wagner
Steinbeis-Forschungszentrum Technische
Simulation;
Eurohypo
AG; Commerzbank
AG
4
Economic Capital Calculation and Risk Aggregation
85
Oliver
Kaufmann; Olga
Wilderotter
Commerzbank AG; Hochschule Karlsruhe
PARTIU:
CREDIT
RISK
5
The Role of Copulas in the
CreditRiskł
Framework
109
Dirk Ebmeyer, Peter Quell; Rolf
Klaas
DZ
BANK
AG;
University of Giessen
6
Dependency Measurement in Counterparty Credit Risk
139
Colin Burke
HBOS Treasury Services
7
Copula Impact on Default Timing
165
Christian Bluhm; Ludger Overbeck
Credit
Suisse;
University of Giessen
CONTENTS
PART IV:
MARKET
RISK
8
Enhancing the Reliability of Value-at-Risk Calculations
189
Jörn
Rank
d-fine GmbH
PARTV: PRICING OF DERIVATIVES
9
Pricing Multivariate Currency Options with Copulas
219
Mark Salmon;
Christoph Schleicher
Warwick Business School; Bank of England
10
On the Pricing and Hedging of Basket Default Swaps
233
Dherminder Kuinth
QuaRC, Royal Bank of Scotland
11
Copulas for Equity Derivatives
275
Oliver
Brockhaus
Commerzbank Corporates &
Markets
Appendix: Nomenclature
293
Thorsten
Schmidt
University of Leipzig
Index
297
vi
Copulas:
From Theory to Application in Finance provides a varied and up-to-date perspective
on the current use of these mathematical tools within the field of financial risk management.
Providing examples of the most frequently used methods in market and credit risk, the pitfalls
they depend upon and an analysis of possible solutions, the reader will gain an in-depth
understanding of the methods presented to perform risk calculations and apply them to their
own. As well as a detailed analysis of the field of financial risk management and derivative
pricing, the book also:
•
Introduces and delves deeply into the theoretical aspects;
•
Presents the applications of copulas on market and credit risk;
О
Provides an outlook on the future development of the application of copulas in finance;
•
Demonstrates the practical applications of copulas in financial risk management.
A breakthrough book, Copulas provides the reader with the most important aspects in this
field. It is useful as a working manual or reference and is recommended for practitioners at
banks, risk professionals, traders, consultants and academics.
|
| adam_txt |
Contents
About the Editor
vii
List of Contributors
ix
Introduction
xv
Jörn
Rank
d-fine GmbH
PART I: INTRODUCTION TO COPULAS
1
Coping with Copulas
3
Thorsten
Schmidt
University of Leipzig
2
The Estimation of Copulas: Theory and Practice
35
Arthur
Charpentier;
Jean-David Fermanian;
Olivier Scaillet
Ensae-Crest and
Katholieke Universiteit Leuven; BNP
Paribas
and Crest;
НЕС
Genève
and Swiss Finance Institute
PART II: ECONOMIC CAPITAL/RISK AGGREGATION
3
Numerical Methods for Risk Aggregation based on Copulas
63
Christian Griindl,
Holger
Heumann; David Peretti;
Christian Wagner
Steinbeis-Forschungszentrum Technische
Simulation;
Eurohypo
AG; Commerzbank
AG
4
Economic Capital Calculation and Risk Aggregation
85
Oliver
Kaufmann; Olga
Wilderotter
Commerzbank AG; Hochschule Karlsruhe
PARTIU:
CREDIT
RISK
5
The Role of Copulas in the
CreditRiskł
Framework
109
Dirk Ebmeyer, Peter Quell; Rolf
Klaas
DZ
BANK
AG;
University of Giessen
6
Dependency Measurement in Counterparty Credit Risk
139
Colin Burke
HBOS Treasury Services
7
Copula Impact on Default Timing
165
Christian Bluhm; Ludger Overbeck
Credit
Suisse;
University of Giessen
CONTENTS
PART IV:
MARKET
RISK
8
Enhancing the Reliability of Value-at-Risk Calculations
189
Jörn
Rank
d-fine GmbH
PARTV: PRICING OF DERIVATIVES
9
Pricing Multivariate Currency Options with Copulas
219
Mark Salmon;
Christoph Schleicher
Warwick Business School; Bank of England
10
On the Pricing and Hedging of Basket Default Swaps
233
Dherminder Kuinth
QuaRC, Royal Bank of Scotland
11
Copulas for Equity Derivatives
275
Oliver
Brockhaus
Commerzbank Corporates &
Markets
Appendix: Nomenclature
293
Thorsten
Schmidt
University of Leipzig
Index
297
vi
Copulas:
From Theory to Application in Finance provides a varied and up-to-date perspective
on the current use of these mathematical tools within the field of financial risk management.
Providing examples of the most frequently used methods in market and credit risk, the pitfalls
they depend upon and an analysis of possible solutions, the reader will gain an in-depth
understanding of the methods presented to perform risk calculations and apply them to their
own. As well as a detailed analysis of the field of financial risk management and derivative
pricing, the book also:
•
Introduces and delves deeply into the theoretical aspects;
•
Presents the applications of copulas on market and credit risk;
О
Provides an outlook on the future development of the application of copulas in finance;
•
Demonstrates the practical applications of copulas in financial risk management.
A breakthrough book, Copulas provides the reader with the most important aspects in this
field. It is useful as a working manual or reference and is recommended for practitioners at
banks, risk professionals, traders, consultants and academics. |
| any_adam_object | 1 |
| any_adam_object_boolean | 1 |
| building | Verbundindex |
| bvnumber | BV022545438 |
| callnumber-first | H - Social Science |
| callnumber-label | HG106 |
| callnumber-raw | HG106 |
| callnumber-search | HG106 |
| callnumber-sort | HG 3106 |
| callnumber-subject | HG - Finance |
| classification_rvk | QP 890 |
| ctrlnum | (OCoLC)77495076 (DE-599)OBVAC05798356 |
| dewey-full | 519.535 |
| dewey-hundreds | 500 - Natural sciences and mathematics |
| dewey-ones | 519 - Probabilities and applied mathematics |
| dewey-raw | 519.535 |
| dewey-search | 519.535 |
| dewey-sort | 3519.535 |
| dewey-tens | 510 - Mathematics |
| discipline | Mathematik Wirtschaftswissenschaften |
| discipline_str_mv | Mathematik Wirtschaftswissenschaften |
| format | Book |
| fullrecord | <?xml version="1.0" encoding="UTF-8"?><collection xmlns="http://www.loc.gov/MARC21/slim"><record><leader>01792nam a2200421 c 4500</leader><controlfield tag="001">BV022545438</controlfield><controlfield tag="003">DE-604</controlfield><controlfield tag="005">20080221 </controlfield><controlfield tag="007">t</controlfield><controlfield tag="008">070806s2007 d||| |||| 00||| eng d</controlfield><datafield tag="020" ind1=" " ind2=" "><subfield code="a">190433945X</subfield><subfield code="9">1-904339-45-X</subfield></datafield><datafield tag="020" ind1=" " ind2=" "><subfield code="a">9781904339458</subfield><subfield code="9">978-1-904339-45-8</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(OCoLC)77495076</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(DE-599)OBVAC05798356</subfield></datafield><datafield tag="040" ind1=" " ind2=" "><subfield code="a">DE-604</subfield><subfield code="b">ger</subfield><subfield code="e">rakwb</subfield></datafield><datafield tag="041" ind1="0" ind2=" "><subfield code="a">eng</subfield></datafield><datafield tag="049" ind1=" " ind2=" "><subfield code="a">DE-29T</subfield><subfield code="a">DE-355</subfield><subfield code="a">DE-19</subfield><subfield code="a">DE-70</subfield><subfield code="a">DE-11</subfield></datafield><datafield tag="050" ind1=" " ind2="0"><subfield code="a">HG106</subfield></datafield><datafield tag="082" ind1="0" ind2=" "><subfield code="a">519.535</subfield><subfield code="2">22</subfield></datafield><datafield tag="084" ind1=" " ind2=" "><subfield code="a">QP 890</subfield><subfield code="0">(DE-625)141965:</subfield><subfield code="2">rvk</subfield></datafield><datafield tag="245" ind1="1" ind2="0"><subfield code="a">Copulas</subfield><subfield code="b">from theory to application in finance</subfield><subfield code="c">ed. by Jörn Rank</subfield></datafield><datafield tag="264" ind1=" " ind2="1"><subfield code="a">London</subfield><subfield code="b">Risk Books</subfield><subfield code="c">2007</subfield></datafield><datafield tag="300" ind1=" " ind2=" "><subfield code="a">XVIII, 300 S.</subfield><subfield code="b">graph. Darst.</subfield></datafield><datafield tag="336" ind1=" " ind2=" "><subfield code="b">txt</subfield><subfield code="2">rdacontent</subfield></datafield><datafield tag="337" ind1=" " ind2=" "><subfield code="b">n</subfield><subfield code="2">rdamedia</subfield></datafield><datafield tag="338" ind1=" " ind2=" "><subfield code="b">nc</subfield><subfield code="2">rdacarrier</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Mathematisches Modell</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Copulas (Mathematical statistics)</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Finance</subfield><subfield code="x">Mathematical models</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">Finanzmathematik</subfield><subfield code="0">(DE-588)4017195-4</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">Kopula</subfield><subfield code="g">Mathematik</subfield><subfield code="0">(DE-588)4529954-7</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="689" ind1="0" ind2="0"><subfield code="a">Kopula</subfield><subfield code="g">Mathematik</subfield><subfield code="0">(DE-588)4529954-7</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="0" ind2="1"><subfield code="a">Finanzmathematik</subfield><subfield code="0">(DE-588)4017195-4</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="0" ind2=" "><subfield code="5">DE-604</subfield></datafield><datafield tag="700" ind1="1" ind2=" "><subfield code="a">Rank, Jörn</subfield><subfield code="e">Sonstige</subfield><subfield code="4">oth</subfield></datafield><datafield tag="856" ind1="4" ind2="2"><subfield code="m">Digitalisierung UB Regensburg</subfield><subfield code="q">application/pdf</subfield><subfield code="u">http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=015751819&sequence=000003&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA</subfield><subfield code="3">Inhaltsverzeichnis</subfield></datafield><datafield tag="856" ind1="4" ind2="2"><subfield code="m">Digitalisierung UB Regensburg</subfield><subfield code="q">application/pdf</subfield><subfield code="u">http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=015751819&sequence=000004&line_number=0002&func_code=DB_RECORDS&service_type=MEDIA</subfield><subfield code="3">Klappentext</subfield></datafield><datafield tag="999" ind1=" " ind2=" "><subfield code="a">oai:aleph.bib-bvb.de:BVB01-015751819</subfield></datafield></record></collection> |
| id | DE-604.BV022545438 |
| illustrated | Illustrated |
| index_date | 2024-07-02T18:11:43Z |
| indexdate | 2024-07-09T20:59:56Z |
| institution | BVB |
| isbn | 190433945X 9781904339458 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-015751819 |
| oclc_num | 77495076 |
| open_access_boolean | |
| owner | DE-29T DE-355 DE-BY-UBR DE-19 DE-BY-UBM DE-70 DE-11 |
| owner_facet | DE-29T DE-355 DE-BY-UBR DE-19 DE-BY-UBM DE-70 DE-11 |
| physical | XVIII, 300 S. graph. Darst. |
| publishDate | 2007 |
| publishDateSearch | 2007 |
| publishDateSort | 2007 |
| publisher | Risk Books |
| record_format | marc |
| spelling | Copulas from theory to application in finance ed. by Jörn Rank London Risk Books 2007 XVIII, 300 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Mathematisches Modell Copulas (Mathematical statistics) Finance Mathematical models Finanzmathematik (DE-588)4017195-4 gnd rswk-swf Kopula Mathematik (DE-588)4529954-7 gnd rswk-swf Kopula Mathematik (DE-588)4529954-7 s Finanzmathematik (DE-588)4017195-4 s DE-604 Rank, Jörn Sonstige oth Digitalisierung UB Regensburg application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=015751819&sequence=000003&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis Digitalisierung UB Regensburg application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=015751819&sequence=000004&line_number=0002&func_code=DB_RECORDS&service_type=MEDIA Klappentext |
| spellingShingle | Copulas from theory to application in finance Mathematisches Modell Copulas (Mathematical statistics) Finance Mathematical models Finanzmathematik (DE-588)4017195-4 gnd Kopula Mathematik (DE-588)4529954-7 gnd |
| subject_GND | (DE-588)4017195-4 (DE-588)4529954-7 |
| title | Copulas from theory to application in finance |
| title_auth | Copulas from theory to application in finance |
| title_exact_search | Copulas from theory to application in finance |
| title_exact_search_txtP | Copulas from theory to application in finance |
| title_full | Copulas from theory to application in finance ed. by Jörn Rank |
| title_fullStr | Copulas from theory to application in finance ed. by Jörn Rank |
| title_full_unstemmed | Copulas from theory to application in finance ed. by Jörn Rank |
| title_short | Copulas |
| title_sort | copulas from theory to application in finance |
| title_sub | from theory to application in finance |
| topic | Mathematisches Modell Copulas (Mathematical statistics) Finance Mathematical models Finanzmathematik (DE-588)4017195-4 gnd Kopula Mathematik (DE-588)4529954-7 gnd |
| topic_facet | Mathematisches Modell Copulas (Mathematical statistics) Finance Mathematical models Finanzmathematik Kopula Mathematik |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=015751819&sequence=000003&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=015751819&sequence=000004&line_number=0002&func_code=DB_RECORDS&service_type=MEDIA |
| work_keys_str_mv | AT rankjorn copulasfromtheorytoapplicationinfinance |