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Valentin Braun:
Dynamic Copulas for Finance : An Application to Portfolio Risk Calculation - Livro de bolsoISBN: 3844100407
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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… mais…
2011, ISBN: 9783844100402
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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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Dados detalhados do livro - Dynamic Copulas for Finance
EAN (ISBN-13): 9783844100402
ISBN (ISBN-10): 3844100407
Livro de capa dura
Livro de bolso
Ano de publicação: 2011
Editor/Editora: Josef Eul Verlag GmbH
176 Páginas
Peso: 0,262 kg
Língua: eng/Englisch
Livro na base de dados desde 2012-01-17T13:43:46-02:00 (Sao Paulo)
Página de detalhes modificada pela última vez em 2021-02-28T11:12:19-03:00 (Sao Paulo)
Número ISBN/EAN: 9783844100402
Número ISBN - Ortografia alternativa:
3-8441-0040-7, 978-3-8441-0040-2
Ortografia alternativa e termos de pesquisa relacionados:
Autor do livro: valentin just, josef braun, aries judas
Título do livro: calculation for finance, portfolio
Dados da editora
Autor: Valentin Braun
Título: Quantitative Ökonomie; Dynamic Copulas for Finance - An Application to Portfolio Risk Calculation
Editora: Josef Eul Verlag
158 Páginas
Ano de publicação: 2011-06-04
Peso: 0,262 kg
Língua: Inglês
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.< Para arquivar...