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Konstruktion und Anwendung von Copulas in der Finanzwirtschaft

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Author Info

  • Stefan Hlawatsch

    ()
    (Faculty of Economics and Management, Otto-von-Guericke University Magdeburg)

  • Peter Reichling

    ()
    (Faculty of Economics and Management, Otto-von-Guericke University Magdeburg)

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    Abstract

    Copulas erfreuen sich in der Finanzwirtschaft wachsender Beliebtheit. Ursache hierfür ist insbesondere die Möglichkeit, mit ihrer Hilfe nicht-lineare Abhängigkeitsstrukturen darzustellen. Ein weiterer Vorteil besteht darin, dass multivariate Verteilungen mit Hilfe von Copulas separat in ihre Randverteilungen und in ihre Abhängigkeitsstruktur zerlegt werden können. Damit ist die Untersuchung der Abhängigkeitsstruktur losgelöst von Annahmen über die Randverteilungen. Diese Flexibilität ermöglicht die Anwendung von Copulas in zahlreichen Bereichen der Finanzwirtschaft, vom Risikomanagement über die Bewertung von komplexen Finanzprodukten bis zur Portfoliooptimierung. Die vorliegende Arbeit dient zum Einen als didaktischer Einstieg in die Copulathematik und stellt zum Anderen die aktuellen Forschungsergebnisse aus den genannten Bereichen vor.

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    File URL: http://www.fww.ovgu.de/fww_media/femm/femm_2010/2010_16.pdf
    File Function: First version, 2010
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    Bibliographic Info

    Paper provided by Otto-von-Guericke University Magdeburg, Faculty of Economics and Management in its series FEMM Working Papers with number 100016.

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    Length: 28 pages
    Date of creation: Jul 2010
    Date of revision:
    Handle: RePEc:mag:wpaper:100016

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    Keywords: Copula; Portfoliomanagement; Risikomanagement; Optionspreisbewertung;

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