Applied Quantitative Finance presents solutions, theoretical developments and method proliferation The combination of practice and theory supported by computational tools is reflected in the selection of Read this book on SpringerLink.
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- Applied quantitative finance : theory and computational tools
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The function l A is th e indicator function of th e event A. The copula parameter estimators are th erefore the solution of the following minimi zation problem: While this method is inherently numerically stable, it will produce unsat isfactory results when applied to risk man agement probl ems, because th e minimization will fit t he copula best where th ere are the most datapoints, and not necessaril y at the ext reme ends of t he distribution. In general, a copula C depends on one or more copula parameters PI ,.
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In this sense, the correlation p Xi,Xj can be seen as a parameter of the so-called Gaussian copula. Here we demonstrate the process of deriving the VaR of a portfolio using the copula method with XploRe, beginning with the estimation of the selection of the copula itself, estimation of the copula parameters and the computation of the VaR. A comparison of three methods for selecting values of input variables in th e analysis of output from a computer code, Technometrics 21 2: Delta-gamma four ways, http: Working Paper TV Wien.
Applied quantitative finance : theory and computational tools
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All "quantlets" for calculation of examples within the textual content are executable on an XploRe Quantlet Server XQS and will be transformed via the reader through the web. The digital version might be downloaded from the web.
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