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We continue publishing the four-part consultation of professor of Moscow School of Economics of Lomonosov MSU Dean Fantazzini. The first part, that appeared in 2 (10), 2008 of the journal, dealt with the introduction to the problem (section one: basic concepts and types of financial risks,...
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The paper aims at introducing copula-models' concepts and its application to solving such financials programs as risk … measurement, risk hedging, portfolio optimization, derivatives pricing and duration models evaluation. For the purpose the copula … definition is firstly introduced. Then different copula families, model estimation and inference techniques are discussed. A …
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