Statistical and computational challenges of copula modeling with applications to quantitative risk management

联结建模在定量风险管理中的应用的统计和计算挑战

• 批准号: RGPIN-2015-05010
• 负责人: Hofert, Jan
• 金额: $ 1.38万
• 依托单位: University of Waterloo
• 依托单位国家: 加拿大
• 项目类别: Discovery Grants Program - Individual
• 财政年份: 2017
• 资助国家: 加拿大
• 起止时间: 2017-01-01 至 2018-12-31
• 项目状态: 已结题
• 来源: https://www.nserc-crsng.gc.ca/ase-oro/Details-Detailles_eng.asp?id=636032
• 关键词: Statistical; computational; challenges; copula; modeling

My research is directed at stochastic dependence modeling with copulas, computational statistics and quantitative risk management (QRM). These three areas of research are mainly interconnected through the notion of dependence modeling in a wider sense. Below I summarize which aspects of these areas are covered in my proposed research program.

我的研究方向是随机依赖模型与copula，计算统计和定量风险管理（QRM）。这三个研究领域主要通过更广泛意义上的依赖建模的概念相互联系。下面我总结了这些领域的哪些方面涵盖在我提出的研究计划。