Copulas και οι εφαρμογές τους στη διαχείριση κινδύνου και στα χρηματοοικονομικά
Master Thesis
Date
2009-09-23View/
Abstract
In recent decades, copulas have been identified as an important tool in Finance. The notion of copula was introduced by A.Sklar in 1959. A copula is a function that links univariate marginals to their full multivariate distribution. Because of their ability to present non-parametric measures of dependence between random variables, their use is very popular in financial problems involving two or more random variables. In this paper work we will present the general definitions of multivariate and bivariate copulas and their properties. We will discuss for the most important families of bivariate copulas as are the Marshall Olkin copulas, the Elliptical and Archimedean copulas and their extensions to the multivariate case. We will focus on their differences and on their features that make them useful to approach financial issues. Finally, we will present some applications of copulas and we will look how they face some of the most important financial problems.
Language
GreekCollections
Except where otherwise noted, this item's license is described as
Αναφορά Δημιουργού-Μη Εμπορική Χρήση-Όχι Παράγωγα Έργα 4.0 Διεθνές
Αναφορά Δημιουργού-Μη Εμπορική Χρήση-Όχι Παράγωγα Έργα 4.0 Διεθνές