Copula models for risk management

Argurio, Alessio (A.A. 2011/2012) Copula models for risk management. Tesi di Laurea in Probability and statistics, LUISS Guido Carli, relatore Pierpaolo Brutti, pp. 46. [Bachelor's Degree Thesis]

Full text for this thesis not available from the repository.


An introduction to copulas. Concepts of association. Rank correlation. Copula families. Calibrating copulas. Copula models & risk assessment. An application.


Bibliografia: pp. 45-46.

Thesis Type: Bachelor's Degree Thesis
Institution: LUISS Guido Carli
Degree Program: Bachelor's Degree Programs > Bachelor's Degree Program in Economics and Business, English language (28)
Chair: Probability and statistics
Thesis Supervisor: Brutti, Pierpaolo
Academic Year: 2011/2012
Session: Summer
Deposited by: Alessandro Perfetti
Date Deposited: 27 Aug 2012 10:16
Last Modified: 19 May 2015 23:12


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