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[学科前沿] What are copulas and how are they used in Quantitative Finance? [推广有奖]

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矿主 发表于 2009-4-15 15:16:00 |AI写论文

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<p>What are copulas and how are they used in Quantitative Finance?</p>
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关键词：Quantitative QUANTITATIV Finance copulas Copula

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CQFer 发表于2楼  查看完整内容

Copulas are used to model joint distribution of multiple underlyings. They permit a rich "correlation" structure between underlyings.They are used for pricing,for risk management,for pairs trading,etc.,and are especially popular in credit derivatives.For example,you have a basket of stocks which during normal days exhibit little relationship with each other.We might say that they are uncorrelated. ...

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CQFer 发表于 2009-4-15 15:46:00

Copulas are used to model joint distribution of multiple underlyings. They permit a rich "correlation" structure between underlyings.They are used for pricing,for risk management,for pairs trading,etc.,and are especially popular in credit derivatives.

For example,you have a basket of stocks which during normal days exhibit little relationship with each other.We might say that they are uncorrelated.But on days when the market moves dramatically they all move together. Such behaviour can be modelled by copulas.

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矿主 发表于 2009-4-21 10:37:00

Right!

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danchina 发表于 2009-7-22 21:44:24
thank you very much
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