'Copula' diaporamas de présentation

The Copula Cycle: Features and Principles of Projection

592 views • 59 slides

Pair-copula constructions of multiple dependence

Pair-copula constructions of multiple dependence. Vine Copula Workshop Delft Institute of Applied Mathematics, 19. November, 2007. Kjersti Aas Norwegian Computing Center

940 views • 48 slides

Credit Default Swap with Nonlinear Dependence

Credit Default Swap with Nonlinear Dependence. Chih-Yung Lin Shwu-Jane Shieh 2006.12.14. Abstract.

581 views • 47 slides

Copula Models and Speculative Price Dynamics

Copula Models and Speculative Price Dynamics. Umberto Cherubini University of Bologna RMI Workshop National University of Singapore, 5/2/2010. Outline. Copula functions: main concepts Copula functions and Markov processes Application to credit (CDX) Application to equity

540 views • 44 slides

Huilin Gao Surface Hydrology Group University of Washington 03/26/2008

(I) Copula Derived Observation Operators for Assimilating Remotely Sensed Soil Moisture into Land Surface Models. Huilin Gao Surface Hydrology Group University of Washington 03/26/2008. Outline. 1. Background 2. Deriving observation operators for data assimilation using Copula

517 views • 41 slides

Economic Capital and the Aggregation of Risks Using Copulas

Economic Capital and the Aggregation of Risks Using Copulas Dr. Emiliano A. Valdez and Andrew Tang. Motivation and aims Technical background - copulas Numerical simulation Results of simulation Key findings and conclusions. Overview. Capital. Buffer

437 views • 30 slides

Copula functions Advanced Methods of Risk Management Umberto Cherubini

Copula functions Advanced Methods of Risk Management Umberto Cherubini. Copula functions. Copula functions are based on the principle of integral probability transformation.

554 views • 28 slides

Co-movement of Stock Prices in the CARICOM Region

Co-movement of Stock Prices in the CARICOM Region. John Cozier AND PATRICK WATSON Bbf5 confeRence May 2-3, 2013. Outline of Presentation. Introduction Methodology and Data Empirical Analysis Preliminary Estimation of GARCH Estimation of Copula Conclusions. Introduction.

376 views • 27 slides

Copulas and their Applications

Copulas and their Applications. Outline. Introduction Application of Gaussian copula Simulation techniques Application in Finance Fitting with real life data. Introduction Motivation. Normal distributions are not normal!!! Linear correlation is not suitable

839 views • 25 slides

437 views • 22 slides

Parameter Estimation for Dependent Risks: Experiments with Bivariate Copula Models

Parameter Estimation for Dependent Risks: Experiments with Bivariate Copula Models. Authors: Florence Wu Michael Sherris Date: 11 November 2005. Aims of Research: .

304 views • 22 slides

Correlation, dependence and copulas

Correlation, dependence and copulas. Multivariate distributions Covariance and correlation Dependence vs. correlation Copulas Most slides borrowed from Chanyoung Park. Joint density distribution function. With two random variables X and Y

454 views • 19 slides

Simple Time-Varying Copula Estimation Wolfgang Aussenegg, Vienna University of Technology

284 views • 16 slides

Market Comovements and Copula Families

184 views • 16 slides