'Copula function' presentation slideshows

Credit Default Swap with Nonlinear Dependence

Credit Default Swap with Nonlinear Dependence. Chih-Yung Lin Shwu-Jane Shieh 2006.12.14. Abstract.

581 views • 47 slides

On the term structure of multivariate equity derivatives

500 views • 44 slides

On the term structure of multivariate equity derivatives

552 views • 44 slides

Copula Models and Speculative Price Dynamics

Copula Models and Speculative Price Dynamics. Umberto Cherubini University of Bologna RMI Workshop National University of Singapore, 5/2/2010. Outline. Copula functions: main concepts Copula functions and Markov processes Application to credit (CDX) Application to equity

541 views • 44 slides

Literature Review ZHU Cai AMA

Literature Review ZHU Cai AMA. 2. 3. 4. 5. 1. Introduction to mGARCH. Results of Elementary A nalysis. Paper-Searching by Journals. Paper -Searching by Authors . Suggestions. Contents. Paper Searching(08-10) - Journal of Econometrics (A).

495 views • 34 slides

Copula functions Advanced Methods of Risk Management Umberto Cherubini

Copula functions Advanced Methods of Risk Management Umberto Cherubini. Copula functions. Copula functions are based on the principle of integral probability transformation.

555 views • 28 slides

R isk Modeling of Multi-year , Multi-line Reinsurance Using Copulas

379 views • 23 slides

R isk Modeling of Multi-year , Multi-line Reinsurance Using Copulas

373 views • 23 slides

Clustering in Concept Extraction

Clustering in Concept Extraction. Technical Report of Web Mining Group Presented by: Mohsen Kamyar Ferdowsi University of Mashhad, WTLab. Outline. Main Approach in Concept Extraction Problems Clustering Methods and LSI Ideas and Our Works Experimental Results.

298 views • 22 slides

Correlation, dependence and copulas

Correlation, dependence and copulas. Multivariate distributions Covariance and correlation Dependence vs. correlation Copulas Most slides borrowed from Chanyoung Park. Joint density distribution function. With two random variables X and Y

457 views • 19 slides

The devil is in the tails: Actuarial mathematics and the subprime mortgage crisis

The devil is in the tails: Actuarial mathematics and the subprime mortgage crisis. Outline. Root of Subprime mortgage crisis Securitization Gaussian copula approach to CDO pricing Drawbacks of copula-based model in credit risk Alternative approach to value CDO.

470 views • 15 slides