Risk Theory 1 - NMFP503
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Last update: doc. RNDr. Martin Branda, Ph.D. (13.12.2020)
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Last update: doc. RNDr. Martin Branda, Ph.D. (13.12.2020)
A.J. McNeil, R. Frey, P. Embrechts: Quantitative Risk Management. Princeton University Press, 2005.
P. Embrechts, C. Klüppelberg, T. Mikosch: Modeling Extremal Events for Insurance and Finance. Springer, 1997.
R.B. Nelsen: An Introduction to Copulas. Springer, 2006. |
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Last update: RNDr. Jitka Zichová, Dr. (09.05.2023)
Lecture + exercises.
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Last update: RNDr. Lucie Mazurová, Ph.D. (12.12.2020)
1. Extreme value distributions. Block maxima analysis. Generalized Pareto distribution. Analysis of threshold exeedances. 2. Copulas. Sklar theorem. Comonotonicity and countermonotonicity. Implicit copulas. Bivariate archimedean copulas. 3. Dependence measures. Coefficients of rank correlation. Coefficients of tail dependence. 4. Estimating copulas from data. Simulation of copulas. |