Portfolio Risk Management – the Application of Copula Function
碩士 === 輔仁大學 === 金融研究所 === 96 === Copula function offer risk managers a powerful tool to model the dependence between the different elements of a portfolio and are prefe- rable to the traditional,correlation-based approach. In this paper we show how to select an accurate copula for risk management. F...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2008
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| Online Access: | http://ndltd.ncl.edu.tw/handle/99264832060084551713 |