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Financial Engineering with Copulas Explained

  • Jan-Frederik Mai
  • Matthias Scherer

Part of the Financial Engineering Explained book series (FEX)

Table of contents

  1. Front Matter
    Pages i-xvi
  2. Jan-Frederik Mai, Matthias Scherer
    Pages 1-18
  3. Jan-Frederik Mai, Matthias Scherer
    Pages 19-34
  4. Jan-Frederik Mai, Matthias Scherer
    Pages 35-48
  5. Jan-Frederik Mai, Matthias Scherer
    Pages 49-73
  6. Jan-Frederik Mai, Matthias Scherer
    Pages 74-84
  7. Jan-Frederik Mai, Matthias Scherer
    Pages 85-102
  8. Jan-Frederik Mai, Matthias Scherer
    Pages 103-116
  9. Jan-Frederik Mai, Matthias Scherer
    Pages 117-137
  10. Back Matter
    Pages 138-150

About this book

Introduction

This is a succinct guide to the application and modelling of dependence models or copulas in the financial markets. First applied to credit risk modelling, copulas are now widely used across a range of derivatives transactions, asset pricing techniques and risk models and are a core part of the financial engineer's toolkit.

Keywords

Copula dependence modelling portfolio credit-risk financial engineering asset pricing Credit Risk derivatives Portfolio Risk modelling

Authors and affiliations

  • Jan-Frederik Mai
    • 1
  • Matthias Scherer
    • 2
  1. 1.XAIA InvestmentMunichGermany
  2. 2.Technische Universität MünchenGermany

Bibliographic information