72 relations: Abe Sklar, Absolute continuity, Actuary, Agent-based computational economics, Annals of Statistics, Basket option, Bernstein's theorem on monotone functions, Cartesian product, Collateralized debt obligation, Comonotonicity, Constant maturity swap, Convex function, Copula (linguistics), Correlation and dependence, Credit derivative, Cumulative distribution function, David Clayton, Dependent and independent variables, Derivative (finance), Emergence, Emil Julius Gumbel, Equity derivative, Exotic derivative, Extreme value theory, Financial crisis, Financial crisis of 2007–2008, Financial risk modeling, Financial Times, Flight-to-quality, Foreign exchange derivative, Herd behavior, Hyperrectangle, Implied volatility, Independence (probability theory), Interest rate derivative, Investment management, Joint probability distribution, Journal of Futures Markets, Linguistics, Marginal distribution, Mathematical finance, Maurice René Fréchet, Mir Maswood Ali, Monte Carlo methods in finance, Multivariable calculus, Multivariate normal distribution, Pairs trade, Portfolio optimization, Probability integral transform, Probability theory, ..., Pseudorandomness, Random variable, Range (mathematics), Reliability (statistics), Risk management, Securitization, Simulation, Spread option, Statistical arbitrage, Statistics, Stress test (financial), Systemic risk, Tail risk, Two-moment decision model, Uniform distribution (continuous), Unit cube, University of Edinburgh School of Social and Political Sciences, Value at risk, Vine copula, Volatility smile, Warranty, Wassily Hoeffding. Expand index (22 more) »

## Abe Sklar

Abe Sklar is an American mathematician, a professor emeritus of applied mathematics at the Illinois Institute of Technology.

New!!: Copula (probability theory) and Abe Sklar · See more »

## Absolute continuity

In calculus, absolute continuity is a smoothness property of functions that is stronger than continuity and uniform continuity.

New!!: Copula (probability theory) and Absolute continuity · See more »

## Actuary

An actuary is a business professional who deals with the measurement and management of risk and uncertainty.

New!!: Copula (probability theory) and Actuary · See more »

## Agent-based computational economics

Agent-based computational economics (ACE) is the area of computational economics that studies economic processes, including whole economies, as dynamic systems of interacting agents.

New!!: Copula (probability theory) and Agent-based computational economics · See more »

## Annals of Statistics

The Annals of Statistics is a peer-reviewed statistics journal published by the Institute of Mathematical Statistics.

New!!: Copula (probability theory) and Annals of Statistics · See more »

## Basket option

A basket option is a financial derivative, more specifically an exotic option, whose underlying is a weighted sum or average of different assets that have been grouped together in a basket.

New!!: Copula (probability theory) and Basket option · See more »

## Bernstein's theorem on monotone functions

In real analysis, a branch of mathematics, Bernstein's theorem states that every real-valued function on the half-line.

New!!: Copula (probability theory) and Bernstein's theorem on monotone functions · See more »

## Cartesian product

In set theory (and, usually, in other parts of mathematics), a Cartesian product is a mathematical operation that returns a set (or product set or simply product) from multiple sets.

New!!: Copula (probability theory) and Cartesian product · See more »

## Collateralized debt obligation

A collateralized debt obligation (CDO) is a type of structured asset-backed security (ABS).

New!!: Copula (probability theory) and Collateralized debt obligation · See more »

## Comonotonicity

In probability theory, comonotonicity mainly refers to the perfect positive dependence between the components of a random vector, essentially saying that they can be represented as increasing functions of a single random variable.

New!!: Copula (probability theory) and Comonotonicity · See more »

## Constant maturity swap

A constant maturity swap, also known as a CMS, is a swap that allows the purchaser to fix the duration of received flows on a swap.

New!!: Copula (probability theory) and Constant maturity swap · See more »

## Convex function

In mathematics, a real-valued function defined on an ''n''-dimensional interval is called convex (or convex downward or concave upward) if the line segment between any two points on the graph of the function lies above or on the graph, in a Euclidean space (or more generally a vector space) of at least two dimensions.

New!!: Copula (probability theory) and Convex function · See more »

## Copula (linguistics)

In linguistics, a copula (plural: copulas or copulae; abbreviated) is a word used to link the subject of a sentence with a predicate (a subject complement), such as the word is in the sentence "The sky is blue." The word copula derives from the Latin noun for a "link" or "tie" that connects two different things.

New!!: Copula (probability theory) and Copula (linguistics) · See more »

## Correlation and dependence

In statistics, dependence or association is any statistical relationship, whether causal or not, between two random variables or bivariate data.

New!!: Copula (probability theory) and Correlation and dependence · See more »

## Credit derivative

In finance, a credit derivative refers to any one of "various instruments and techniques designed to separate and then transfer the credit risk"The Economist Passing on the risks 2 November 1996 or the risk of an event of default of a corporate or sovereign borrower, transferring it to an entity other than the lender or debtholder.

New!!: Copula (probability theory) and Credit derivative · See more »

## Cumulative distribution function

In probability theory and statistics, the cumulative distribution function (CDF, also cumulative density function) of a real-valued random variable X, or just distribution function of X, evaluated at x, is the probability that X will take a value less than or equal to x. In the case of a continuous distribution, it gives the area under the probability density function from minus infinity to x. Cumulative distribution functions are also used to specify the distribution of multivariate random variables.

New!!: Copula (probability theory) and Cumulative distribution function · See more »

## David Clayton

David George Clayton, born 13 June 1944, is a British statistician and epidemiologist.

New!!: Copula (probability theory) and David Clayton · See more »

## Dependent and independent variables

In mathematical modeling, statistical modeling and experimental sciences, the values of dependent variables depend on the values of independent variables.

New!!: Copula (probability theory) and Dependent and independent variables · See more »

## Derivative (finance)

In finance, a derivative is a contract that derives its value from the performance of an underlying entity.

New!!: Copula (probability theory) and Derivative (finance) · See more »

## Emergence

In philosophy, systems theory, science, and art, emergence occurs when "the whole is greater than the sum of the parts," meaning the whole has properties its parts do not have.

New!!: Copula (probability theory) and Emergence · See more »

## Emil Julius Gumbel

Emil Julius Gumbel (18 July 1891, Munich – 10 September 1966, New York City) was a German mathematician and political writer.

New!!: Copula (probability theory) and Emil Julius Gumbel · See more »

## Equity derivative

In finance, an equity derivative is a class of derivatives whose value is at least partly derived from one or more underlying equity securities.

New!!: Copula (probability theory) and Equity derivative · See more »

## Exotic derivative

An exotic derivative, in finance, is a derivative which is more complex than commonly traded "vanilla" products.

New!!: Copula (probability theory) and Exotic derivative · See more »

## Extreme value theory

Extreme value theory or extreme value analysis (EVA) is a branch of statistics dealing with the extreme deviations from the median of probability distributions.

New!!: Copula (probability theory) and Extreme value theory · See more »

## Financial crisis

A financial crisis is any of a broad variety of situations in which some financial assets suddenly lose a large part of their nominal value.

New!!: Copula (probability theory) and Financial crisis · See more »

## Financial crisis of 2007–2008

The financial crisis of 2007–2008, also known as the global financial crisis and the 2008 financial crisis, is considered by many economists to have been the worst financial crisis since the Great Depression of the 1930s.

New!!: Copula (probability theory) and Financial crisis of 2007–2008 · See more »

## Financial risk modeling

Financial risk modeling refers to the use of formal econometric techniques to determine the aggregate risk in a financial portfolio.

New!!: Copula (probability theory) and Financial risk modeling · See more »

## Financial Times

The Financial Times (FT) is a Japanese-owned (since 2015), English-language international daily newspaper headquartered in London, with a special emphasis on business and economic news.

New!!: Copula (probability theory) and Financial Times · See more »

## Flight-to-quality

A flight-to-quality, or flight-to-safety, is a financial market phenomenon occurring when investors sell what they perceive to be higher-risk investments and purchase safer investments, such as US Treasuries or gold.

New!!: Copula (probability theory) and Flight-to-quality · See more »

## Foreign exchange derivative

A foreign exchange derivative is a financial derivative whose payoff depends on the foreign exchange rate(s) of two (or more) currencies.

New!!: Copula (probability theory) and Foreign exchange derivative · See more »

## Herd behavior

Herd behavior describes how individuals in a group can act collectively without centralized direction.

New!!: Copula (probability theory) and Herd behavior · See more »

## Hyperrectangle

In geometry, an n-orthotopeCoxeter, 1973 (also called a hyperrectangle or a box) is the generalization of a rectangle for higher dimensions, formally defined as the Cartesian product of intervals.

New!!: Copula (probability theory) and Hyperrectangle · See more »

## Implied volatility

In financial mathematics, the implied volatility of an option contract is that value of the volatility of the underlying instrument which, when input in an option pricing model (such as Black–Scholes) will return a theoretical value equal to the current market price of the option.

New!!: Copula (probability theory) and Implied volatility · See more »

## Independence (probability theory)

In probability theory, two events are independent, statistically independent, or stochastically independent if the occurrence of one does not affect the probability of occurrence of the other.

New!!: Copula (probability theory) and Independence (probability theory) · See more »

## Interest rate derivative

In finance, an interest rate derivative (IRD) is a derivative whose payments are determined through calculation techniques where the underlying benchmark product is an interest rate, or set of different interest rates.

New!!: Copula (probability theory) and Interest rate derivative · See more »

## Investment management

Investment management is the professional asset management of various securities (shares, bonds and other securities) and other assets (e.g., real estate) in order to meet specified investment goals for the benefit of the investors.

New!!: Copula (probability theory) and Investment management · See more »

## Joint probability distribution

Given random variables X, Y,..., that are defined on a probability space, the joint probability distribution for X, Y,...

New!!: Copula (probability theory) and Joint probability distribution · See more »

## Journal of Futures Markets

Journal of Futures Markets is a monthly peer-reviewed academic journal covers developments in financial futures and derivatives.

New!!: Copula (probability theory) and Journal of Futures Markets · See more »

## Linguistics

Linguistics is the scientific study of language, and involves an analysis of language form, language meaning, and language in context.

New!!: Copula (probability theory) and Linguistics · See more »

## Marginal distribution

In probability theory and statistics, the marginal distribution of a subset of a collection of random variables is the probability distribution of the variables contained in the subset.

New!!: Copula (probability theory) and Marginal distribution · See more »

## Mathematical finance

Mathematical finance, also known as quantitative finance, is a field of applied mathematics, concerned with mathematical modeling of financial markets.

New!!: Copula (probability theory) and Mathematical finance · See more »

## Maurice René Fréchet

Maurice Fréchet (2 September 1878 – 4 June 1973) was a French mathematician.

New!!: Copula (probability theory) and Maurice René Fréchet · See more »

## Mir Maswood Ali

Mir Maswood Ali (12 March 1929 – 18 August 2009) was a Canadian statistician and mathematician of Bengali origin.

New!!: Copula (probability theory) and Mir Maswood Ali · See more »

## Monte Carlo methods in finance

Monte Carlo methods are used in finance and mathematical finance to value and analyze (complex) instruments, portfolios and investments by simulating the various sources of uncertainty affecting their value, and then determining the distribution of their value over the range of resultant outcomes.

New!!: Copula (probability theory) and Monte Carlo methods in finance · See more »

## Multivariable calculus

Multivariable calculus (also known as multivariate calculus) is the extension of calculus in one variable to calculus with functions of several variables: the differentiation and integration of functions involving multiple variables, rather than just one.

New!!: Copula (probability theory) and Multivariable calculus · See more »

## Multivariate normal distribution

In probability theory and statistics, the multivariate normal distribution or multivariate Gaussian distribution is a generalization of the one-dimensional (univariate) normal distribution to higher dimensions.

New!!: Copula (probability theory) and Multivariate normal distribution · See more »

## Pairs trade

The pairs trade or pair trading is a market neutral trading strategy enabling traders to profit from virtually any market conditions: uptrend, downtrend, or sideways movement.

New!!: Copula (probability theory) and Pairs trade · See more »

## Portfolio optimization

Portfolio optimization is the process of selecting the best portfolio (asset distribution), out of the set of all portfolios being considered, according to some objective.

New!!: Copula (probability theory) and Portfolio optimization · See more »

## Probability integral transform

In statistics, the probability integral transform or transformation relates to the result that data values that are modelled as being random variables from any given continuous distribution can be converted to random variables having a standard uniform distribution.

New!!: Copula (probability theory) and Probability integral transform · See more »

## Probability theory

Probability theory is the branch of mathematics concerned with probability.

New!!: Copula (probability theory) and Probability theory · See more »

## Pseudorandomness

A pseudorandom process is a process that appears to be random but is not.

New!!: Copula (probability theory) and Pseudorandomness · See more »

## Random variable

In probability and statistics, a random variable, random quantity, aleatory variable, or stochastic variable is a variable whose possible values are outcomes of a random phenomenon.

New!!: Copula (probability theory) and Random variable · See more »

## Range (mathematics)

In mathematics, and more specifically in naive set theory, the range of a function refers to either the codomain or the image of the function, depending upon usage.

New!!: Copula (probability theory) and Range (mathematics) · See more »

## Reliability (statistics)

Reliability in statistics and psychometrics is the overall consistency of a measure.

New!!: Copula (probability theory) and Reliability (statistics) · See more »

## Risk management

Risk management is the identification, evaluation, and prioritization of risks (defined in ISO 31000 as the effect of uncertainty on objectives) followed by coordinator and economical application of resources to minimize, monitor, and control the probability or impact of unfortunate events or to maximize the realization of opportunities.

New!!: Copula (probability theory) and Risk management · See more »

## Securitization

Securitization is the financial practice of pooling various types of contractual debt such as residential mortgages, commercial mortgages, auto loans or credit card debt obligations (or other non-debt assets which generate receivables) and selling their related cash flows to third party investors as securities, which may be described as bonds, pass-through securities, or collateralized debt obligations (CDOs).

New!!: Copula (probability theory) and Securitization · See more »

## Simulation

Simulation is the imitation of the operation of a real-world process or system.

New!!: Copula (probability theory) and Simulation · See more »

## Spread option

In finance, a spread option is a type of option where the payoff is based on the difference in price between two underlying assets.

New!!: Copula (probability theory) and Spread option · See more »

## Statistical arbitrage

In finance, statistical arbitrage (often abbreviated as Stat Arb or StatArb) is a class of short-term financial trading strategies that employ mean reversion models involving broadly diversified portfolios of securities (hundreds to thousands) held for short periods of time (generally seconds to days).

New!!: Copula (probability theory) and Statistical arbitrage · See more »

## Statistics

Statistics is a branch of mathematics dealing with the collection, analysis, interpretation, presentation, and organization of data.

New!!: Copula (probability theory) and Statistics · See more »

## Stress test (financial)

A stress test, in financial terminology, is an analysis or simulation designed to determine the ability of a given financial instrument or financial institution to deal with an economic crisis.

New!!: Copula (probability theory) and Stress test (financial) · See more »

## Systemic risk

In finance, systemic risk is the risk of collapse of an entire financial system or entire market, as opposed to risk associated with any one individual entity, group or component of a system, that can be contained therein without harming the entire system.

New!!: Copula (probability theory) and Systemic risk · See more »

## Tail risk

Tail risk is the additional risk of an asset or portfolio of assets moving more than 3 standard deviations from its current price, above the risk of a normal distribution.

New!!: Copula (probability theory) and Tail risk · See more »

## Two-moment decision model

In decision theory, economics, and finance, a two-moment decision model is a model that describes or prescribes the process of making decisions in a context in which the decision-maker is faced with random variables whose realizations cannot be known in advance, and in which choices are made based on knowledge of two moments of those random variables.

New!!: Copula (probability theory) and Two-moment decision model · See more »

## Uniform distribution (continuous)

In probability theory and statistics, the continuous uniform distribution or rectangular distribution is a family of symmetric probability distributions such that for each member of the family, all intervals of the same length on the distribution's support are equally probable.

New!!: Copula (probability theory) and Uniform distribution (continuous) · See more »

## Unit cube

A unit cube, more formally a cube of side 1, is a cube whose sides are 1 unit long.

New!!: Copula (probability theory) and Unit cube · See more »

## University of Edinburgh School of Social and Political Sciences

The School of Social and Political Sciences at the University of Edinburgh is a department undertaking research and teaching into politics, international relations, social anthropology, social policy, social work and sociology.

New!!: Copula (probability theory) and University of Edinburgh School of Social and Political Sciences · See more »

## Value at risk

Value at risk (VaR) is a measure of the risk of loss for investments.

New!!: Copula (probability theory) and Value at risk · See more »

## Vine copula

A vine is a graphical tool for labeling constraints in high-dimensional probability distributions.

New!!: Copula (probability theory) and Vine copula · See more »

## Volatility smile

Volatility smiles are implied volatility patterns that arise in pricing financial options.

New!!: Copula (probability theory) and Volatility smile · See more »

## Warranty

In contract law, a warranty has various meanings but generally means a guarantee or promise which provides assurance by one party to the other party that specific facts or conditions are true or will happen.

New!!: Copula (probability theory) and Warranty · See more »

## Wassily Hoeffding

Wassily Hoeffding (June 12, 1914 – February 28, 1991) was a Finnish statistician and probabilist.

New!!: Copula (probability theory) and Wassily Hoeffding · See more »

## Redirects here:

Archimedean copula, Copula (mathematics), Copula (statistics), Copula Methods, Copula function, Frechet-Hoeffding copula bounds, Fréchet-Hoeffding copula bounds, Fréchet–Hoeffding copula bounds, Gaussian copula, Gaussian copula function, Gaussian copula model, N-increasing, N-increasing function, Sklar theorem, Sklar's theorem, Sklars theorem, Stochastic copula.

## References

[1] https://en.wikipedia.org/wiki/Copula_(probability_theory)