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研究生海外優質課程-Copula方法及其在風險管理中的應用

來源:吉林大學經濟學院 | 2017-05-11 | 發布:經管之家

Excellent Master Course

Title: Risk Management with Copula Models

Language: English

Professor: Dr. Fabrizio Durante, Full Professor in Mathematical Methods of Economics, Finance and Actuarial Sciences, Department of Management and Economics, University of Salento, Lecce, Italy; Associate Editor of the journals Computational Statistics and Data Analysis, Dependence Modeling, Statistical Methods and Applications; Co-chair of the specialized team on "Dependence Models and Copulas" of ERCIM Working Group on Computational and Methodological Statistics.

Email: [email protected]

Date and Time: 15/05/2017-20/05/2017, 8.00AM - 11.30AM

Room: Dongrong Building, 804

Objectives

The course is related to the study of multivariate stochastic models for describing random

systems with several dependent component. The focus is on the use of copula-based models,

which are flexible tools to study dependence among different random variables It will also

present novel procedures for risk calculation (e.g. VaR and Expected shortfall) with multivariate

data.. The methodolology is presented with the help of the free software R.

Contents

Part 1: Understanding multivariate risks

 Principles of stochastic models

 Elements of risk measurements

 Correlation: properties and pitfalls

Part 2: What is a copula?

 Definition and basic properties of copulas

 Sklar’s Theorem

 R practice: copulas of multivariate data

Part 3: Copulas and Dependence

 Dependence concepts with copulas

 Spearman’s and Kendall’s correlation

 Tail dependence

Part 4: Families of copulas and simulations

 The Monte Carlo method

 Archimedean copulas

 Elliptical copulas: Gaussian copulas and Student copulas

 R practice: simulation of multivariate distributions

Part 5: The statistics of copula models

 Estimation of copulas

 Model selection and goodness-of-fit

 R practice: estimation of copulas and model selection

Illustration: Estimation of the risk of a portfolio (the rearrangement algorithm)

Prerequisites

Basic knowledge in probability and statistics.

研究生海外優質課程:

授課主題:Copula方法及其在風險管理中的應用(英文授課)

授課教師:Fabrizio Durante

意大利薩倫托大學經濟與管理系教授;

《Computational Statistics and Data Analysis》、《Dependence Modeling》和《Statistical Methods and Applications》等雜志的副主編;

歐洲信息學與數學研究聯盟計算和方法統計“Dependence Models and Copulas”團隊聯合主席。

授課時間:5月15日-20日,共6天,每天上午8:00-11:30。

授課地點:東榮804室。

研究生工作辦公室

2017.5.11
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