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Dynamic Copulas for Finance : An Application to Portfolio Risk Calculation - Valentin Braun
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Valentin Braun:

Dynamic Copulas for Finance : An Application to Portfolio Risk Calculation - Pasta blanda

ISBN: 3844100407

[EAN: 9783844100402], Neubuch, [SC: 0.0], [PU: Josef Eul Verlag Gmbh], Druck auf Anfrage Neuware - The interactions of financial securities are crucial to determine possible portfolio los… Más…

NEW BOOK. Gastos de envío:Versandkostenfrei. (EUR 0.00) AHA-BUCH GmbH, Einbeck, Germany [51283250] [Rating: 5 (von 5)]
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Valentin Braun:

Dynamic Copulas for Finance : An Application to Portfolio Risk Calculation - Pasta blanda

ISBN: 3844100407

[EAN: 9783844100402], Neubuch, [PU: Josef Eul Verlag Gmbh], Druck auf Anfrage Neuware - The interactions of financial securities are crucial to determine possible portfolio losses. Althou… Más…

NEW BOOK. Gastos de envío:Versandkostenfrei. (EUR 0.00) AHA-BUCH GmbH, Einbeck, Germany [51283250] [Rating: 5 (von 5)]
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Dynamic Copulas for Finance - libro usado

ISBN: 3844100407

The interactions of financial securities are crucial to determine possible portfolio losses. Although this fact is well understood, two questions remain: What causes changes in the depend… Más…

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Braun, Valentin:
Dynamic Copulas for Finance - Pasta blanda

2011, ISBN: 9783844100402

Erscheinungsdatum: 05/2011, Medium: Taschenbuch, Einband: Kartoniert / Broschiert, Titel: Dynamic Copulas for Finance, Titelzusatz: An Application to Portfolio Risk Calculation, Autor: Br… Más…

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Valentin Braun:
Dynamic Copulas for Finance - Pasta blanda

ISBN: 9783844100402

Dynamic Copulas for Finance Dynamic-Copulas-for-Finance~~Valentin-Braun Business>Business Ref>Business Ref Paperback, Josef Eul Verlag GmbH

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Detalles del libro
Dynamic Copulas for Finance

The interactions of financial securities are crucial to determine possible portfolio losses. Although this fact is well understood, two questions remain: What causes changes in the dependence structure of financial assets? How can fluctuating dependencies be measured? The most common approach to identify the amplitude of financial assets' interactions are linear correlation coefficients. However, they fail to comprise shifts in the dependence structure. Alternatively, Copulas are a more flexible dependence measurement. This book focuses on the development of Dynamic Copula frameworks by implementing stochastic parameters into Archimedian and Elliptical Copula functions. In contrast to static correlation measures, the Dynamic Copulas are able to replicate unstable financial market interactions.Various Dynamic Copulas are applied to global stock, bond, commodity and exchange rate data to calculate the correlation time paths, which explain financial market reactions to economic shocks. Furthermore, the interactions of dependencies, volatility and returns are analyzed, to determine the efficiency of portfolio diversification in regards to wealth protection. Portfolio risks are estimated through Dynamic Copulas to demonstrate their abilities to replicate financial market interactions accurately. Additionally, this analysis reveals the impact of changing dependence intensities on the magnitude of possible portfolio losses. Finally, the Dynamic Copulas are utilized to allocate higher moment optimal portfolios. This examination emphasizes the effect of inaccurate correlation estimates on the portfolio choice.

Detalles del libro - Dynamic Copulas for Finance


EAN (ISBN-13): 9783844100402
ISBN (ISBN-10): 3844100407
Tapa dura
Tapa blanda
Año de publicación: 2011
Editorial: Josef Eul Verlag GmbH
176 Páginas
Peso: 0,262 kg
Idioma: eng/Englisch

Libro en la base de datos desde 2012-01-17T09:43:46-06:00 (Mexico City)
Página de detalles modificada por última vez el 2021-02-28T08:12:19-06:00 (Mexico City)
ISBN/EAN: 3844100407

ISBN - escritura alterna:
3-8441-0040-7, 978-3-8441-0040-2
Mode alterno de escritura y términos de búsqueda relacionados:
Autor del libro: valentin just, josef braun, aries judas
Título del libro: calculation for finance, portfolio


Datos del la editorial

Autor: Valentin Braun
Título: Quantitative Ökonomie; Dynamic Copulas for Finance - An Application to Portfolio Risk Calculation
Editorial: Josef Eul Verlag
158 Páginas
Año de publicación: 2011-06-04
Peso: 0,262 kg
Idioma: Inglés
48,00 € (DE)
49,40 € (AT)
79,50 CHF (CH)
Not available, publisher indicates OP

BC; PB; Hardcover, Softcover / Wirtschaft/Allgemeines, Lexika; Wirtschaftswissenschaft, Finanzen, Betriebswirtschaft und Management; Copula Theory; Copulas; Dynamic Copulas; Risk Calculation; Portfolio Risk

The interactions of financial securities are crucial to determine possible portfolio losses. Although this fact is well understood, two questions remain: What causes changes in the dependence structure of financial assets? How can fluctuating dependencies be measured? The most common approach to identify the amplitude of financial assets' interactions are linear correlation coefficients. However, they fail to comprise shifts in the dependence structure. Alternatively, Copulas are a more flexible dependence measurement. This book focuses on the development of Dynamic Copula frameworks by implementing stochastic parameters into Archimedian and Elliptical Copula functions. In contrast to static correlation measures, the Dynamic Copulas are able to replicate unstable financial market interactions. Various Dynamic Copulas are applied to global stock, bond, commodity and exchange rate data to calculate the correlation time paths, which explain financial market reactions to economic shocks. Furthermore, the interactions of dependencies, volatility and returns are analyzed, to determine the efficiency of portfolio diversification in regards to wealth protection. Portfolio risks are estimated through Dynamic Copulas to demonstrate their abilities to replicate financial market interactions accurately. Additionally, this analysis reveals the impact of changing dependence intensities on the magnitude of possible portfolio losses. Finally, the Dynamic Copulas are utilized to allocate higher moment optimal portfolios. This examination emphasizes the effect of inaccurate correlation estimates on the portfolio choice.

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