Archimedean-Copula-Based Models in Financial Risk Management (Paperback)

Copula is used to model multivariate data, as it accounts for the dependence structure and provides a flexible representation of the multivariate distribution. Recently a large number of Archimedean copulas have been proposed to deal with various dependence aspects in financial risk management, which invokes several new questions in some important yet under-researched areas.This dissertation comprises three essays and probes into three untouched questions all involving the Archimedean-copula-based models. It provides important empirical evidences that the Archimedean copula-based PVaR model generally has better forecasting performance than the Gaussian copula-based PVaR model. Therefore, financial risk managers should consider the use of the Archimedean copula-based PVaR model when attempting to forecast extreme downside dependent risk.

General

Imprint:	Lap Lambert Academic Publishing
Country of origin:	Germany
Release date:	June 2009
First published:	June 2010
Authors:	Qing Xu
Dimensions:	229 x 152 x 9mm (L x W x T)
Format:	Paperback - Trade
Pages:	152
ISBN-13:	978-3-8383-0293-5
Categories:	Books > Language & Literature > Biography & autobiography > General Books > Business & Economics > Economics > General Books > Biography > General
LSN:	3-8383-0293-1
Barcode:	9783838302935

Is the information for this product incomplete, wrong or inappropriate? Let us know about it.

Does this product have an incorrect or missing image? Send us a new image.

Is this product missing categories? Add more categories.

Review This Product

No reviews yet - be the first to create one!