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Copulas: from theory to application in finance

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Bibliographic Details
Format:	Book
Language:	English
Published:	London Risk Books 2007
Subjects:	Mathematisches Modell Copulas (Mathematical statistics) Finance > Mathematical models Finanzmathematik Kopula > Mathematik
Online Access:	Inhaltsverzeichnis Klappentext
Physical Description:	XVIII, 300 S. graph. Darst.
ISBN:	190433945X 9781904339458

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MARC


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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.
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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
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