Chapter: Modelling Dependence with Copulas and Applications to Risk Management

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Home > Handbook of Heavy Tailed Distributions in Finance > Modelling Dependence with Copulas and Applications to Risk Management

Handbook of Heavy Tailed Distributions in Finance |

Svetlozar T. Rachev

North-Holland

Handbook of Heavy Tailed Distributions in Finance

Modelling Dependence with Copulas and Applications to Risk Management

Chapter Info

Authors

Paul Embrechts; Filip Lindskog; Alexander Mcneil

ARI Id

1665586408483_17367520

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Not Available Free

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Chapters/Headings	Author(s)	Pages	Info
Heavy Tails in Finance for Independent or Multifractal Price Increments	Benoit B. Mandelbrot
Financial Risk and Heavy Tails	Brendan O. Bradley; Murad S. Taqqu
Modeling Financial Data with Stable Distributions	John P. Nolan
Statistical Issues in Modeling Multivariate Stable Portfolios	Tomasz J. Kozubowski; Anna K. Panorska; Svetlozar T. Rachev
Jump-Diffusion Models	Wolfgang J. Runggaldier
Hyperbolic Processes in Finance	Bo Martin Bibby; Michael Sørensen
Stable Modeling of Market and Credit Value at Risk	Svetlozar T. Rachev; Eduardo S. Schwartz; Irina Khindanova
Modelling Dependence with Copulas and Applications to Risk Management	Paul Embrechts; Filip Lindskog; Alexander Mcneil
Prediction of Financial Downside-Risk with Heavy-Tailed Conditional Distributions	Stefan Mittnik; Marc S. Paolella
Stable Non-Gaussian Models for Credit Risk Management	Bernhard Martin; Svetlozar T. Rachev; Eduardo S. Schwartz
Asset Liability Management: A Review and Some New Results in the Presence of Heavy Tails	Yesim Tokat; Svetlozar T. Rachev; Eduardo S. Schwartz
Portfolio Choice Theory with Non-Gaussian Distributed Returns	Sergio Ortobelli; Isabella Huber; Svetlozar T. Rachev; Eduardo S. Schwartz
Portfolio Modeling with Heavy Tailed Random Vectors	Mark M. Meerschaert; Hans-Peter. Scheffler
Long Range Dependence in Heavy Tailed Stochastic Processes	BORJANA RACHEVA-IOTOVA; GENNADY SAMORODNITSKY
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