New Report Provides a Varied Perspective of the Use of Copulas Within the Field of Financial Risk Management and Derivative Pricing.DUBLIN, Ireland -- Research and Markets (http://www.researchandmarkets.com/reports/c50542) has announced the addition of Copulas: From theory to application in finance to their offering. 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 delves Delves is a village in County Durham, in England. It is situated a short distance to the south of Consett. deeply into the theoretical aspects; Presents the applications of copulas on market and credit risk; Gives you an outlook on the future development of the application of Copulas in finance; and Allows you to understand the practical applications of copulas in financial risk management. An innovative and important title, this truly comprehensive book provides you with the most important aspects in this field. It is great as a working manual or reference and is recommended for practitioners at banks, risk professionals, traders, consultants and academics. Introduction - Jorn Rank Section 1 - Introduction to Copulas 1. Coping with Copulas - Thorsten Schmidt 2. The Estimation estimation In mathematics, use of a function or formula to derive a solution or make a prediction. Unlike approximation, it has precise connotations. In statistics, for example, it connotes the careful selection and testing of a function called an estimator. of Copulas: Theory and Practice - Arthur Charpentier, Jean-David Fermanian and Olivier Scaillet Section 2 - Economic Capital / Risk Aggregation 3. Numerical numerical expressed in numbers, i.e. Arabic numerals of 0 to 9 inclusive. numerical nomenclature a numerical code is used to indicate the words, or other alphabetical signals, intended. Methods for Risk Aggregation based on Copulas - Christian Grundl, Holger Heumann, David Peretti and Christian Wagner 4. Economic Capital Calculation and Risk Aggregation - Oliver Kaufmann and Olga Wilderotter Section 3 - Credit Risk 5. The Role of Copulas in the CreditRisk+ Framework - Dirk Ebmeyer, Peter Quell quell tr.v. quelled, quell·ing, quells 1. To put down forcibly; suppress: Police quelled the riot. 2. and Rolf Klaas 6. Dependency Measurement in Counterparty Counterparty The other participant, including intermediaries, in a swap or contract. Credit Risk - Colin Burke 7. Copula copula /cop·u·la/ (kop´u-lah) 1. any connecting part or structure. 2. a median ventral elevation on the embryonic tongue formed by union of the second pharyngeal arches and playing a role in tongue development. Impact on Default Timing - Christian Bluhm and Ludger Overbeck Section 4 - Market Risk 8. Enhancing the Reliability of Value at Risk Calculations - Jorn Rank Section 5 - Pricing of Derivatives 9. Pricing Multivariate The use of multiple variables in a forecasting model. Currency Options with Copulas - Mark Salmon and Christoph Schleicher 10. On the Pricing and Hedging of Basket Default Swaps - Dherminder Kainth 11. Copulas for Equity Derivatives In finance, an equity derivative is a class of financial instruments whose value is at least partly derived from one or more underlying equity securities. Market participants trade equity derivatives in order to transfer or transform certain risks associated with the - Oliver Brockhaus Appendix - Thorsten Schmidt For more information visit http://www.researchandmarkets.com/reports/c50542 |
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