Lecture

Copulas: Modeling Dependence in Financial Engineering

In course

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Description

This lecture covers the fundamentals of copulas, including their definition, Sklar's Theorem, Fréchet bounds, and examples of explicit and implicit copulas. It explores dependence measures such as rank correlations and coefficients of tail dependence, providing insights into modeling the dependence structure of financial variables.

Instructor

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Official source

https://mediaspace.epfl.ch/media/0_8n6gk8mt

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Ontological neighbourhood

Statistics

Statistical inference: Mathematical statistics

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