研究生海外优质课程-Copula方法及其在风险管理中的应用
发表于： 2017-05-11 15:20 点击：240
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: fabrizio.durante@unisalento.it.
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.
研究生海外优质课程：
授课主题：Copula方法及其在风险管理中的应用（英文授课）
授课教师：Fabrizio Durante
意大利萨伦托大学经济与管理系教授；
《Computational Statistics and Data Analysis》、《Dependence Modeling》和《Statistical Methods and Applications》等杂志的副主编；
欧洲信息学与数学研究联盟计算和方法统计“Dependence Models and Copulas”团队联合主席。
授课时间：5月15日-20日，共6天，每天上午8:00-11:30。
授课地点：东荣804室。
研究生工作办公室
2017.5.11
