Kaisa_2012_3_photo by Veikko Somerpuro

Anmäl dig
29.7.2019 kl. 09:00 - 25.8.2019 kl. 23:55

Interaktion

MOOC platform will be used for the course.

Tidsschema

I den här delen hittar du kursens tidsschema. Kontrollera eventuella andra tider i beskrivning.

DatumTidPlatsTilläggsuppgifter
mån 26.8.2019
10:15 - 12:00
Umberto Cherubini
mån 26.8.2019
13:15 - 15:00
Umberto CherubiniExactum, C128
tis 27.8.2019
10:15 - 12:00
Umberto Cherubini
tis 27.8.2019
13:15 - 15:00
Umberto CherubiniExactum, C128
ons 28.8.2019
10:15 - 12:00
Umberto Cherubini
ons 28.8.2019
13:15 - 15:00
Umberto CherubiniExactum, C128
tors 29.8.2019
10:15 - 12:00
Umberto Cherubini
tors 29.8.2019
13:15 - 15:00
Umberto CherubiniExactum, C128
fre 30.8.2019
10:15 - 12:00
Umberto Cherubini
fre 30.8.2019
13:15 - 15:00
Umberto CherubiniExactum, C128

Beskrivning

Doctoral students and advanced Master's students

In 1959 Abe Sklar published the first version of the famous copula function theorem. Sixty years later, this series of lectures is aimed at introducing the concept and discussing the frontier issues of the application of this tool to several fields, with a particular bias of the author towards finance and economics, but will to hear about other fields of applications. The main goal will be to convey and receive ideas for original research on the subject.

Copula functions: back to the future

  1. Sklar, Gauss and "the formula that killed Wall Street
  2. Elliptical, Archimedean, what else?
  3. Basic applications

Copula function estimation

  1. The likelihood approach
  2. The MM and SMM approach
  3. Exchangeability, singularity and other issues

Copula functions go dynamic

  1. Sklar meets Markov: the DNO approach
  2. Convolution copulas

Copula functions and the singularity issue

  1. What is the probability that two banks default at the same time?
  2. Copulas with singular components: MO and GMO copulas
  3. Systemic risk application

Dependence in large data sets

  1. Gaussian copula applications for large graph models
  2. Large dynamic models with applications

Lectures, exercises, group work, discussion

Professor Umerto Cherubini