'Tail dependence' diaporamas de présentation

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

Model Risk of Correlation Products

Model Risk of Correlation Products. PRESENTED TO: Risk Magazine's Training Course: Advanced Correlation Modelling & Analysis BY: Martin Goldberg, Director martin.goldberg@citigroup.com Head of Model Validation Risk Architecture Citigroup

629 views • 44 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.

553 views • 28 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

Simulating Exchangeable Multivariate Archimedean Copulas and its Applications

624 views • 23 slides

Tail Dependence

307 views • 14 slides