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USING COPULAS An introduction for practitioners

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IntroductionPopular copula familiesSimulationParameter estimationModel selectionModel evaluationExamplesExtensionsSummaryUSING COPULASAn introduction for practitionersDANIEL BERGDnBNOR Asset ManagementNorwegian ASTIN society. Oslo - November 2008Daniel BergUsing copulasIntroductionPopular copula familiesSimulationParameter estimationModel selectionModel evaluationExamplesExtensionsSummaryDnBNO R Kapitalforvaltning bredde og dybde i forvalterkompetanse, 100 analytikere og portef produktspekter - og gode dokumenterte systemer for risikostyring og - kontroll. Store volumer - kostnadseffektiv prosess med produktutvikling og 300 aarsverk. Ca NOK 500 milliarder til forvaltning. Personkunder Institusjonelle investorer Ca 500 kunder i Norge og Sverige Viktigste kundesegmenter: pensjonskasser, kommuner, bedrifter,organisasjoner/stiftelser H y raadgivningskompetanse Strategiske mandat Vital Skandia Liv Skandia FonderDaniel BergUsing copulasIntroductionPopular copula familiesSimulationParameter estimationModel selectionModel copula (uranium, river flow/temp, precipitation.)

Introduction Popularcopulafamilies Simulation Parameterestimation Modelselection Modelevaluation Examples Extensions Summary USING COPULAS An introduction for ...

  Introduction, Practitioner, Cupolas, Copulas an introduction for practitioners

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