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

copula sign in to follow this
dependence sign in to follow this
extreme returns sign in to follow this

VaR Methods sign in to follow this
--Extreme Value Theory sign in to follow this
Discuss This Paper
Sign in to follow this page
Recent Comments
Tail Risk Systemic Risk and Copulas
Company: Casualty Actuarial Society E-Forum
Year Of Publication: 2010
Month Of Publication: September
Pages: 23
Download Count: 14
View Count: 1450
Comment Num: 0
Language: English
Who Can Read: Free
Date: 12-3-2010
Publisher: Administrator
Copulas are an elegant mathematical tool for decoupling a joint distribution into the marginal component and the dependence structure component; thus enabling us to model simultaneous events with a greater degree of flexibility. However, as with many statistical techniques, the application of copulas in practice is as much art as it is science. And risk management considerations, such as the increased focus on tail events over central moments, should drive selections of copulas just as much as statistical goodness-of-fit analysis. This paper focuses on several modeling considerations when working with copulas from the perspective of adequately accounting for the behavior in the extreme tails of both the marginal and joint distributions.
(volume 2)
Staudt, Andy 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?

Repeat Email:
User Name:
Confirm Password:

Sign Up

Welcome to GloriaMundi!
Thanks for singning up

continue or edit your profile