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Copulas: From theory to application in finance


Description: 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 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.


Contents: Introduction - Jörn Rank

Section 1 - Introduction to Copulas

1. Coping with Copulas - Thorsten Schmidt

2. The Estimation of Copulas: Theory and Practice - Arthur Charpentier, Jean-David Fermanian and Olivier Scaillet

Section 2 - Economic Capital / Risk Aggregation

3. Numerical Methods for Risk Aggregation based on Copulas - Christian Gründl, 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 and Rolf Klaas

6. Dependency Measurement in Counterparty Credit Risk - Colin Burke

7. Copula Impact on Default Timing - Christian Bluhm and Ludger Overbeck

Section 4 - Market Risk

8. Enhancing the Reliability of Value at Risk Calculations - Jörn Rank

Section 5 - Pricing of Derivatives

9. Pricing Multivariate 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 - Oliver Brockhaus

Appendix - Thorsten Schmidt




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