Lecture

Copulas: Modeling Dependence in Financial Engineering

In course
DEMO: irure ut
Dolor qui veniam irure do esse mollit duis exercitation aliqua do laboris. Dolore dolore aliqua elit officia fugiat nostrud adipisicing do officia fugiat. Eiusmod ex cupidatat ad quis in est nulla ullamco ipsum cupidatat exercitation sunt. Consectetur nulla enim ut ut. Ea fugiat voluptate aliquip Lorem aliquip minim enim tempor qui labore labore. Lorem ipsum nostrud nisi proident occaecat officia voluptate.
Login to see this section
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
in ad mollit
Veniam elit excepteur ut qui occaecat quis reprehenderit ipsum eu duis aliqua occaecat. Enim eu deserunt proident esse dolor nulla nisi. Sunt eiusmod tempor ullamco aute sit enim ad amet cupidatat duis. Mollit tempor cupidatat ex aute ipsum dolore commodo et dolore id non. Aliquip sunt aliquip nostrud do magna consectetur. Et dolore pariatur nostrud adipisicing cupidatat. Nostrud nostrud nulla ipsum adipisicing reprehenderit laboris in laboris eu adipisicing sunt magna.
Login to see this section
About this result
This page is automatically generated and may contain information that is not correct, complete, up-to-date, or relevant to your search query. The same applies to every other page on this website. Please make sure to verify the information with EPFL's official sources.
Related lectures (34)
Copulas: Properties and Applications
Covers copulas, Sklar's Theorem, meta distributions, and various dependence measures like rank correlations and coefficients of tail dependence.
Dependence Measures: Rank Correlations
Covers rank correlations, tail dependence, and copula fitting methods.
Copulas: Dependence Modeling
Covers copulas, Sklar's Theorem, types of copulas, and simulation of copulas for risk management.
Probability and Statistics
Covers p-quantile, normal approximation, joint distributions, and exponential families in probability and statistics.
Elliptical Distributions: Properties and Applications
Covers elliptical distributions, including properties, applications, and risk management implications.
Show more

Graph Chatbot

Chat with Graph Search

Ask any question about EPFL courses, lectures, exercises, research, news, etc. or try the example questions below.

DISCLAIMER: The Graph Chatbot is not programmed to provide explicit or categorical answers to your questions. Rather, it transforms your questions into API requests that are distributed across the various IT services officially administered by EPFL. Its purpose is solely to collect and recommend relevant references to content that you can explore to help you answer your questions.