Short Course

The workshop will be preceded by a short course
"Copulae calibration in theory and practise", 9th July 2012.

There will be two sections, both dealing with multivariate copulae, their construction and fitting to real data.

The first section (4h) is organized by Wolfgang Karl Härdle and Ostap Okhrin (C.A.S.E., Humboldt-Universität zu Berlin) and will be an introduction to the domain of Hierarchical Archimedean Copulae and their calibration:
"Hierarchical Archimedean Copulae (HAC); Time varying dependency: Local Estimation and HMM; The limits of CDO valuation with copulae".

References:

  • Choros, B., Härdle, W. and Okhrin, O. (2009). CDO and HAC, SFB 649 Discussion Paper, 2009-038
  • Franke, J., Härdle, W. and Hafner, C. (2010). Statistics of Financial Markets, 3 Edition, Springer
  • Härdle, W., Okhrin, O. and Okhrin, Y. (2010). Time varying Hierarchical Archimedean Copulae, SFB 649 Discussion Paper, 2010-018

In the second part (3h), organized by Claudia Czado and Eike Brechmann (Technische Universität München), the pair copula construction of vine copulae will be introduced and their flexibility and application to financial data using the R package "CDVine" be demonstrated:
"Vine copulae; Simulation; Estimation methods; Model selection; Truncation; Vine sector models".

References:

  • Aas, K., C. Czado, A. Frigessi and H. Bakken (2009). Pair-copula constructions of multiple dependence. Insurance: Mathematics and Economics 44 (2), 182-198.
  • Czado, C. (2010). Pair-copula constructions of multivariate copulas. In P. Jaworski, F. Durante, W. Härdle, and T. Rychlik (Eds.), Copula Theory and Its Applications. Berlin: Springer.
  • Kurowicka, D. and R. M. Cooke (2006). Uncertainty Analysis with High Dimensional Dependence Modelling. Chichester: John Wiley.
  • Kurowicka, D. and H. Joe (Eds.) (2011). DEPENDENCE MODELING: Vine Copula Handbook. Singapore: World Scientific Publishing Co.