Copulas:From theory to application in finance
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
Editor’s Note
Introduction - Jörn Rank
Section 1 - Introduction to Copulas
Nomenclature – Thorsten Schmidt
Coping with Copulas - Thorsten Schmidt
The Estimation of Copulas: Theory and Practice - Arthur Charpentier, Jean-David Fermanian, Olivier Scaillet
Section 2 - Economic Capital / Risk Aggregation
Numerical Methods for Risk Aggregation based on Copulas - Christian Gründl, Holger Heumann, David Peretti, Christian Wagner
Economic Capital Calculation and Risk Aggregation - Oliver Kaufmann, Olga Wilderotter
Section 3 - Credit Risk
The Role of Copulas in the CreditRisk+TM Framework - Dirk Ebmeyer, Rolf Klaas, Peter Quell
Dependency Measurement in Counterparty Credit Risk - Colin Burke
Section 4 - Market Risk
Enhancing the Reliability of Value at Risk Calculations - Jörn Rank
Section 5 - Pricing of Derivatives
Pricing Multivariate Currency Options with Copulas - Mark Salmon, Christoph Schleicher
An Article on the Valuation in the Structured Credit Area - Christian Bluhm, Ludger Overbeck
A Paper on Computing Prices and Deltas of nth to Default Credit Default Swaps – Dherminder Kainth, Mark Joshi
Copulas for Equity Derivatives - Oliver Brockhaus
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