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13 Haziran 2014, 15:00 
İzmir Ekonomi Üniversitesi Matematik Bölümü SeminerleriMeasurement of financial risks with copulas Moses Raphael Mhagama
The main purpose of the seminar is to give a brief understanding of copulas with their definitions and important properties and how they are applied to determine the measures of financial risks in particular VaR and Expected shortfall or conditional Value-at-Risk. The families of copulas will be briefly presented and some special copulas i.e Gaussian copula, Clayton copulas, Gumbel copula and Frank copula, will be discussed along with their tail dependencies.
İstatistik İngilizce M501 admin 20.03.2020 |
