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Copulas: Inference and Applications

MA5728A1.3 Stochastics3 ECTSEnglishEinmaligDepartment Mathematics
AI-edited module sheet. Based on the TUMonline module description, edited for readability.Original in TUMonline

What it is about

You will learn modern Copula models to describe dependencies, both static and dynamic variants, with a focus on estimation and testing procedures. In the end you can assess parametric, semiparametric and nonparametric approaches and apply them in applications of the finance and insurance industry (e.g., portfolio risk, multi-name pricing, risk management).

What you will be able to do

  • Understand essential properties of Copula models and dependency measures
  • Apply parametric, semiparametric and nonparametric estimation methods
  • Conduct and interpret significance and specification tests for Copulas
  • Follow theoretical results on inference procedures and understand proofs
  • Practically apply methods in finance and insurance applications

What the module consists of

  • LectureDelivery of theory, models and proofs; presentations and board work
  • Tutorial/Programming tasksPractical application and deepening through problem sheets and programming exercises

Teaching method

  • Lecture with slides and boardto present theoretical results and proofs
  • Self-study with literatureto deepen the covered topics
  • Tutorial and programming tasksfor practical application of the models
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