Copulas - Risk Books
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Edited By Jörn Rank


With the use of copulas becoming increasingly important in finance, Copulas provides a varied perspective of their usage within the field of financial risk management and derivative pricing.

Publish date: 1 Dec 2006

Availability: In stock


Book description

You are given examples of the most frequently used methods in both market and credit risk, the pitfalls they depend upon and an analysis of possible solutions. You will also gain an in-depth understanding of the methods presented to perform risk calculations and apply them to your own.

Copulas involves a detailed analysis of the field of financial risk management and derivative pricing, and:

  • Introduces and delves deeply into the theoretical aspects;
  • Presents the applications of copulas on market and credit risk;
  • Gives you an outlook on the future development of the application of Copulas in finance; and
  • Allows you to understand the practical applications of copulas in financial risk management,

An innovative and important title, this truly comprehensive book provides you with the most important aspects in this field. It is great as a working manual or reference and is recommended for practitioners at banks, risk professionals, traders, consultants and academics.

Book details

Publish date
1 Dec 2006
155mm x 235mm

Editor biography

Jörn Rank

Jörn Rank is Senior Manager at d-fine GmbH, a leading European consultancy that is focused entirely on the financial world, advising banks, asset managers, insurance companies and corporate treasuries on quantitative and system integration projects. Before joining d-fine, Jörn worked for the Financial and Commodity Risk Consulting of Arthur Andersen, Germany, and at Commerzbank AG in Frankfurt.

Jörn has an MSc and PhD in Physics from the University of Bielefeld and a Diploma and MSc in Mathematical Finance from the University of Oxford (New College). He has published several articles on Theoretical Physics and has co-authored an article on the application of copulas for the calculation of the value at risk.

Table of contents

Table of contents

Introduction - Jörn Rank

Section 1 - Introduction to Copulas

1. Coping with Copulas - Thorsten Schmidt

2. The Estimation of Copulas: Theory and Practice - Arthur Charpentier, Jean-David Fermanian and Olivier Scaillet

Section 2 - Economic Capital / Risk Aggregation

3. Numerical Methods for Risk Aggregation based on Copulas - Christian Gründl, Holger Heumann, David Peretti and Christian Wagner

4. Economic Capital Calculation and Risk Aggregation - Oliver Kaufmann and Olga Wilderotter

Section 3 - Credit Risk

5. The Role of Copulas in the CreditRisk+ Framework - Dirk Ebmeyer, Peter Quell and Rolf Klaas

6. Dependency Measurement in Counterparty Credit Risk - Colin Burke

7. Copula Impact on Default Timing - Christian Bluhm and Ludger Overbeck

Section 4 - Market Risk

8. Enhancing the Reliability of Value at Risk Calculations - Jörn Rank

Section 5 - Pricing of Derivatives

9. Pricing Multivariate Currency Options with Copulas - Mark Salmon and Christoph Schleicher

10. On the Pricing and Hedging of Basket Default Swaps - Dherminder Kainth

11. Copulas for Equity Derivatives - Oliver Brockhaus

Appendix - Thorsten Schmidt

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