Modeling with copulas

News
Lecturer Prof. Dr. Ulrich Stadtmüller
Recitations Marius Hofert

Type 2 hours lectures, 1 hours recitations (2+1)

Meetings Lectures:
  • Friday, 10 - 12, He 18 E 60
Recitations:
  • Friday, 12 - 13, He 18 E 60

Contents

Infos
  • If not done already, please get an SLC-Account. Only students with valid SLC-Account can pass the exercises.

Exercise Sheets

References
  • Nelsen, R. B., "An Introduction to Copulas", 2007
  • Joe, H., "Multivariate Models and Dependence Concepts", 1997
  • McNeil, A. J. and Frey, R. and Embrechts, P., "Quantitative Risk Management: Concepts, Techniques, and Tools", 2005