An Introduction to Copulas

Course description

Copulas provide the link between marginal and joint distributions and are of interest in numerous applications. This course provides a mathematical introduction to the theory of copulas and related concepts. Particular topics include measures of association, sampling algorithms, statistical estimation, and a discussion of the most widely used copula classes.
The aim of this course is to present a concise, mathematical introduction to copulas. Since applications are often large-dimensional, focus is put on the multivariate case for higher dimensions whenever possible and reasonable. In this course, students will gain insight in the modeling of dependent random variables and related concepts.

References

• Nelsen, R. (2007), "An Introduction to Copulas", Springer.
• Joe, H. (1997), "Multivariate Models and Dependence Concepts", Chapman & Hall/CRC.
• McNeil, A. J., Frey, R., Embrechts, P. (2005), "Quantitative Risk Management: Concepts, Techniques, and Tools", Princeton University Press.

Course material

Course material (login and password were announced in the lecture; final update on 2010-12-22)

Misc

• Course description in the course catalogue
• A script will not be available
• Conditions to obtain the certificate: pass oral exam (tba)
• Advanced Topics in Copula Modeling