Document Search
Add To My Bookshelf Sign in or Register Save And Annotate
Keywords:

copula sign in to follow this
extreme sign in to follow this
EVT sign in to follow this
dependence sign in to follow this
Categories:

VaR Methods sign in to follow this
--Extreme Value Theory sign in to follow this
Half-Life:
Impact:
Discuss This Paper
Sign in to follow this page
Recent Comments
  more
Copulas: Tales and Facts
Company: Extremes
Company Url: Click here to open
Year Of Publication: 2006
Month Of Publication: March
Pages: 3-20
Download Count: 470
View Count:
Comment Num: 0
Language: EN
Source:
Who Can Read: Free
Date: 4-15-2007
Publisher: Administrator
Summary
The main purpose of this paper is to ask some nave questions about the fast ascent of copulatechnology that has become so fashionable. My main concern is that this very simple concept mightbe something like the emperor's new clothes because it promises to solve all problems of stochasticdependence but it falls short in achieving the goal. Although I do appreciate that practitioners,in contrast to academic researchers, have to come up with solutions to their risk problems withindeadlines and that \quick and dirty methods" cannot always be avoided. Yet one may of courseask how much safety the banking and insurance industry (and maybe the rest of the world) reallygains by using the copula concept.
volume 9, number 1
THIS IS A PRE-PUBLICATION VERSION OF THE PAPER.
Author(s)
Mikosch, Thomas Sign in to follow this author
This document's citation network:
Similar Documents:
Close window
Sign up in one step, no personal information required. Already a Member?



Email:
Repeat Email:
User Name:
Password:
Confirm Password:

Sign Up


Welcome to GloriaMundi!
Thanks for singning up



continue or edit your profile