Selecting copulas for risk management
نویسندگان
چکیده
منابع مشابه
Copulas: an open ...eld for risk management
One of the main issues of risk management is the aggregation of individual risks. A powerful concept to aggregate the risks — the copula function — has been introduced in ...nance by Embrechts, McNeil, and Straumann [1999,2000]. In their papers, the authors clarify the essential concepts of dependence and correlation and certainly will greatly in‡uence the risk management industry. The goal of ...
متن کاملCopulas: an open field for risk management
One of the main issues of risk management is the aggregation of individual risks. A powerful concept to aggregate the risks — the copula function — has been introduced in finance by Embrechts, McNeil, and Straumann [1999,2000]. In their papers, the authors clarify the essential concepts of dependence and correlation and certainly will greatly influence the risk management industry. The goal of ...
متن کاملSelection of Copulas for Risk Management∗
Department of Mathematics & Statistics, University of North Carolina at Charlotte, Charlotte, NC 28223, USA, E-mails: [email protected] (Z. Cai) and [email protected] (X. Wang) The Wang Yanan Institute for Studies in Economics, Xiamen University, China Department of Economics, Yale University, New Haven, CT 06520, USA, E-mail: [email protected] Department of Economics, Vanderbilt University, Nas...
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Background and Objective: Hospitals play an important role in protecting the health and survival of people during disasters. Despite the development of risk management programs worldwide in recent years, hospital preparedness in disasters is low and one reason for that is the lack of hospital standards for disaster preparedness. This study aims to develop hospital accreditation standards for ho...
متن کاملCorrelations and Copulas for Decision and Risk Analysis
The construction of a probabilistic model is a key step in most decision and risk analyses. Typically this is done by defining a joint distribution in terms of marginal and conditional distributions for the model’s random variables. We describe an alternative approach that uses a copula to construct joint distributions and pairwise correlations to incorporate dependence among the variables. The...
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ژورنال
عنوان ژورنال: Journal of Banking & Finance
سال: 2007
ISSN: 0378-4266
DOI: 10.1016/j.jbankfin.2006.09.010