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Financial Applications of Copula-Models

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  • Penikas, H.

    (State University - Higher School of Economics, Moscow, Russia)

Abstract

The paper aims at introducing copula-models' concepts and its application to solving such financials programs as risk measurement, risk hedging, portfolio optimization, derivatives pricing and duration models evaluation. For the purpose the copula definition is firstly introduced. Then different copula families, model estimation and inference techniques are discussed. A detailed review of relevant literature is provided. Finally the unresolved issues are presented that might well become the subjects of further research.

Suggested Citation

  • Penikas, H., 2010. "Financial Applications of Copula-Models," Journal of the New Economic Association, New Economic Association, issue 7, pages 24-44.
    • Handle: RePEc:nea:journl:y:2010:i:7:p:24-44
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    Cited by:

    1. Travkin, A., 2015. "Estimating Pair-Copula Constructions Using Empirical Tail Dependence Functions: an Application to Russian Stock Market," Journal of the New Economic Association, New Economic Association, vol. 25(1), pages 39-55.
    2. Bronshtein , Efim & Prokudina, Elena & Gerasimova, Anna & Dubinskaya, Ksenya, 2011. "Estimation of the interdependence of time series of stocks prices based on copula," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 22(2), pages 22-31.
    3. Travkin, Alexandr, 2013. "Pair copula constructions in portfolio optimization ploblem," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 32(4), pages 110-133.
    4. Antonov I. N. & Knyazev A. G. & Lepekhin O. A., 2016. "Copula Models of the Joint Distribution of Exchange Rates," World of economics and management / Vestnik NSU. Series: Social and Economics Sciences, Socionet, vol. 16(4), pages 20-38.
    5. Knyazev, Alexander & Lepekhin, Oleg & Shemyakin, Arkady, 2016. "Joint distribution of stock indices: Methodological aspects of construction and selection of copula models," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 42, pages 30-53.
    6. Mikhail Semenov & Daulet Smagulov, 2017. "Portfolio Risk Assessment using Copula Models," Papers 1707.03516, arXiv.org.
    7. Penikas, Henry, 2011. "Copula-Based Price Risk Hedging Models," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 22(2), pages 3-21.

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    More about this item

    Keywords

    copula; archimidienne; extreme; risk; hedging; duration;
    All these keywords.

    JEL classification:

    • C16 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Econometric and Statistical Methods; Specific Distributions
    • C46 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Specific Distributions

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