ISBN: 3844100407

[EAN: 9783844100402], Neubuch, [SC: 0.0], [PU: Josef Eul Verlag Gmbh], Druck auf Anfrage Neuware - The interactions of financial securities are crucial to determine possible portfolio los… Mehr…

[EAN: 9783844100402], Neubuch, [SC: 0.0], [PU: Josef Eul Verlag Gmbh], Druck auf Anfrage Neuware - The interactions of financial securities are crucial to determine possible portfolio losses. Although this fact is well understood, two questions remain: What causes changes in the dependence structure of financial assets How can fluctuating dependencies be measured The most common approach to identify the amplitude of financial assets' interactions are linear correlation coefficients. However, they fail to comprise shifts in the dependence structure. Alternatively, Copulas are a more flexible dependence measurement. This book focuses on the development of Dynamic Copula frameworks by implementing stochastic parameters into Archimedian and Elliptical Copula functions. In contrast to static correlation measures, the Dynamic Copulas are able to replicate unstable financial market interactions.Various Dynamic Copulas are applied to global stock, bond, commodity and exchange rate data to calculate the correlation time paths, which explain financial market reactions to economic shocks. Furthermore, the interactions of dependencies, volatility and returns are analyzed, to determine the efficiency of portfolio diversification in regards to wealth protection. Portfolio risks are estimated through Dynamic Copulas to demonstrate their abilities to replicate financial market interactions accurately. Additionally, this analysis reveals the impact of changing dependence intensities on the magnitude of possible portfolio losses. Finally, the Dynamic Copulas are utilized to allocate higher moment optimal portfolios. This examination emphasizes the effect of inaccurate correlation estimates on the portfolio choice. 176 pp. Englisch, Books<

ISBN: 3844100407

[EAN: 9783844100402], Neubuch, [PU: Josef Eul Verlag Gmbh], Druck auf Anfrage Neuware - The interactions of financial securities are crucial to determine possible portfolio losses. Althou… Mehr…

[EAN: 9783844100402], Neubuch, [PU: Josef Eul Verlag Gmbh], Druck auf Anfrage Neuware - The interactions of financial securities are crucial to determine possible portfolio losses. Although this fact is well understood, two questions remain: What causes changes in the dependence structure of financial assets How can fluctuating dependencies be measured The most common approach to identify the amplitude of financial assets' interactions are linear correlation coefficients. However, they fail to comprise shifts in the dependence structure. Alternatively, Copulas are a more flexible dependence measurement. This book focuses on the development of Dynamic Copula frameworks by implementing stochastic parameters into Archimedian and Elliptical Copula functions. In contrast to static correlation measures, the Dynamic Copulas are able to replicate unstable financial market interactions.Various Dynamic Copulas are applied to global stock, bond, commodity and exchange rate data to calculate the correlation time paths, which explain financial market reactions to economic shocks. Furthermore, the interactions of dependencies, volatility and returns are analyzed, to determine the efficiency of portfolio diversification in regards to wealth protection. Portfolio risks are estimated through Dynamic Copulas to demonstrate their abilities to replicate financial market interactions accurately. Additionally, this analysis reveals the impact of changing dependence intensities on the magnitude of possible portfolio losses. Finally, the Dynamic Copulas are utilized to allocate higher moment optimal portfolios. This examination emphasizes the effect of inaccurate correlation estimates on the portfolio choice. 176 pp. Englisch, Books<

2011, ISBN: 9783844100402

Erscheinungsdatum: 05/2011, Medium: Taschenbuch, Einband: Kartoniert / Broschiert, Titel: Dynamic Copulas for Finance, Titelzusatz: An Application to Portfolio Risk Calculation, Autor: Br… Mehr…

Erscheinungsdatum: 05/2011, Medium: Taschenbuch, Einband: Kartoniert / Broschiert, Titel: Dynamic Copulas for Finance, Titelzusatz: An Application to Portfolio Risk Calculation, Autor: Braun, Valentin, Verlag: Josef Eul Verlag GmbH // Eul, J, Sprache: Englisch, Rubrik: Wirtschaft // Allgemeines, Lexika, Geschichte, Seiten: 176, Informationen: Paperback, Gewicht: 264 gr, Verkäufer: averdo Belletristik<

ISBN: 9783844100402

Dynamic Copulas for Finance Dynamic-Copulas-for-Finance~~Valentin-Braun Business>Business Ref>Business Ref Paperback, Josef Eul Verlag GmbH