THE RESEARCH OF COPULA THEORYIN IN FINANCIAL RISK MANAGEMENT

摘要：

Copulas are extremely versatile, and can be used as an analytical tool in a broad range of financial situations such as risk estimation, credit modeling, pricing derivatives, and portfolio management. The literature on copula is mostly devoted to probabilistic theory, to inference methods or to applications in financial risk management. The thesis presents a combination of these three aspects.

关键词： Copula Estimation Risk management

作者: WEN-YI CHAI YU ZHU ZHI-QIANG HOU

作者单位: School of Statistics, Remin University of China, Beijing 100872, China School of Statistics, Xian University of Finance and Economics, Xian 710061, China School of Science, North China University of Technology, Beijing 100041, China

会议类型: 国际会议

会议名称: 2008 International Conference on Machine Learning and Cybernetics(2008机器学习与控制论国际会议)

会议地点: 昆明

会议语种:英文

页码: 1489-1493

在线出版日期: 2008-07-12（万方平台首次上网日期，不代表论文的发表时间）