Copulas for Finance & Applications

Concentration: Finance
Academic Year: 2022-2023
Semester: Second
Required/Elective: Required
Prerequisite(s): None



The dependency between the assets managed by financial institutions is generally not linearly correlated, many of the financial assets such as options or other types of derivatives do not have a linear behavior, so modeling the dependency between them considering an indicator as the coefficient of linear connections could be presenting errors within risk management and investments in portfolios of more than one asset, through a bad combination of diversification (generally measured with covariances and coefficients of connections).

The objective of this course is to convert the Master of Science candidate into an expert in dependency modeling through copula theory, eventually implementing codes in R and Python that will allow combining theory with applications to science. reality, seeking to solve problems within the financial sector related to dependency specifications between financial assets and their implications in the profit and loss of any financial institution.

 

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