Dependence modeling with copulas [electronic resource] / Embrechts and Nelehova.
Material type:
FilmSeries: Henry Stewart talksBusiness & management collection. Quantitative financial risk management: Publisher: London : Henry Stewart Talks, 2007Description: 1 online resource (1 streaming video file (39 min.) : color, sound)Subject(s): Financial risk managementOnline resources: Click here to access online | Series Animated audio-visual presentations with synchronized narration.
Title from title frames.
Contents: Impact of extremes and dependence in finance and insurance -- Correlation issues -- Copulas and Sklar's theorem -- Copula generation -- Frechet-Hoeffding bounds -- Limitations of correlation -- Rank correlation measures -- An application to credit risk -- Tail dependence -- Bounds on risk measures -- Critical appraisal.
Access restricted to subscribers.
Mode of access: World Wide Web.