Financial Applications of Copula-Models

Henry Penikas

Journal of the New Economic Association, 2010, issue 7, 24-44

Abstract: 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.

Keywords: copula; archimidienne; extreme; risk; hedging; duration (search for similar items in EconPapers)
JEL-codes: C16 C46 (search for similar items in EconPapers)
Date: 2010
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Citations: View citations in EconPapers (7)

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Persistent link: https://EconPapers.repec.org/RePEc:nea:journl:y:2010:i:7:p:24-44

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