Author: Roger B. Nelse
Publisher: Springer
Keywords: statistics, series, springer, copulas, introduction
Number of Pages: 270
Published: 2006-01-13
List price: $95.00
ISBN-10: 0387286594
ISBN-13: 9780387286594
Copulas are functions that join multivariate distribution functions to their one-dimensional margins. The study of copulas and their role in statistics is a new but vigorously growing field. In this book the student or practitioner of statistics and probability will find discussions of the fundamental properties of copulas and some of their primary applications. The applications include the study of dependence and measures of association, and the construction of families of bivariate distributions. With nearly a hundred examples and over 150 exercises, this book is suitable as a text or for se
Author: Roger B. Nelsen
Publisher: Springer
Keywords: statistics, notes, lecture, copulas, introduction
Number of Pages: 236
Published: 1998-10-23
List price: $84.95
ISBN-10: 0387986235
ISBN-13: 9780387986234
Copulas are functions that join multivariate distribution functions to their one-dimensional margins. The study of copulas and their role in statistics is a new but vigorously growing field. In this book the student or practitioner of statistics and probability will find discussions of the fundamental properties of copulas and some of their primary applications. The applications include the study of dependence and measures of association, and the construction of families of bivariate distributions. With nearly a hundred examples and over 150 exercises, this book is suitable as a text or for
Authors:Fabrizio Durante, Carlo Sempi,
Publisher: Chapman & Hall
Keywords: applications, theory, copulas
Number of Pages: 352
Published: 2012-11-26
List price: $99.95
ISBN-10: 1439884420
ISBN-13: 9781439884423
Author: Jrn Rank
Publisher: Risk Book
Keywords: bloomberg, professional, finance, application, theory, copulas
Number of Pages: 350
Published: 2006-12-21
List price: $194.00
ISBN-10: 190433945X
ISBN-13: 9781904339458
With the use of copulas becoming increasingly important in finance, Copulas provides a varied perspective of their usage within the field of financial risk management and derivative pricing. You are given examples of the most frequently used methods in both market and credit risk, the pitfalls they depend upon and an analysis of possible solutions. You will also gain an in-depth understanding of the methods presented to perform risk calculations and apply them to your own. Copulas involves a detailed analysis of the field of financial risk management and derivative pricing, and: Introduces and
Author: Regina Pustet
Publisher: Oxford University Press, USA
Keywords: typology, linguistic, theory, studies, oxford, universals, categorization, lexicon, copulas
Number of Pages: 278
Published: 2005-07-07
List price: $65.00
ISBN-10: 0199281807
ISBN-13: 9780199281800
Copulas (in English, the verb to be) are conventionally defined functionally as a means of relating elements of clause structure, especially subject and complement, and considered to be semantically empty or meaningless. Pustet presents an analysis of grammatical descriptions of over 160 languages drawn from the language families of the world. She shows that some languages have a single copula, others several, and some none at all. She links the distribution of copulas to variations in lexical categorization and syntactic structure. She advances a comprehensive theory of copularization which s
Authors:Damiano Brigo, Andrea Pallavicini, Roberto Torresett
Publisher: Wiley
Keywords: models, dynamic, wiley, series, correlations, finance, copulas, crisis, journey, cdos, credit
Number of Pages: 176
Published: 2010-06-01
List price: $49.95
ISBN-10: 0470665661
ISBN-13: 9780470665664
The recent financial crisis has highlighted the need for better valuation models and risk management procedures, better understanding of structured products, and has called into question the actions of many financial institutions. It has become commonplace to blame the inadequacy of credit risk models, claiming that the crisis was due to sophisticated and obscure products being traded, but practitioners have for a long time been aware of the dangers and limitations of credit models. It would seem that a lack of understanding of these models is the root cause of their failures but until now lit
Authors:Alexander Lipton, Alexander Lipton, Andrew Rennie,
Publisher: World Scientific Publishing Company
Keywords: copulas, life, correlation, credit
Number of Pages: 176
Published: 2007-12-25
List price: $96.00
ISBN-10: 9812709495
ISBN-13: 9789812709493
The recent growth of credit derivatives has been explosive. The global credit derivatives market grew in notional value from $1 trillion to $20 trillion from 2000 to 2006. However, understanding the true nature of these instruments still poses both theoretical and practical challenges. For a long time now, the framework of Gaussian copulas parameterized by correlation, and more recently base correlation, has provided an adequate, if unintuitive, description of the market. However, the increased liquidity in credit indices and index tranches, as well as the proliferation of exotic instruments s
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