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Financial Applications of Copula-Models

  • Penikas, H.

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

Registered author(s):

    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.

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    File URL: http://www.econorus.org/repec/journl/2010-7-24-44r.pdf
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    Article provided by New Economic Association in its journal Journal of the New Economic Association.

    Volume (Year): (2010)
    Issue (Month): 7 ()
    Pages: 24-44

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    Handle: RePEc:nea:journl:y:2010:i:7:p:24-44
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