The aim of this thesis is the thorough description of the copula theory. It deals with the theory's basic definitions, classes and characteristics. In addition, relations between copulas and dependence measures are explained. Furthermore, we evaluate the possibilities of copula's parametres estimation and selecting the right copula for real data. Then, the copula theory is interconnected with the basic risk measures in finance. We describe the elementary categorization of financial risks and standard risk measurement approaches. We also define basic risk measures with the emphasis on value at risk. Lastly, we present a real data case study of a selected portfolio.
| Identifer | oai:union.ndltd.org:nusl.cz/oai:invenio.nusl.cz:341244 |
| Date | January 2014 |
| Creators | Prelecová, Natália |
| Contributors | Hurt, Jan, Zichová, Jitka |
| Source Sets | Czech ETDs |
| Language | Slovak |
| Detected Language | English |
| Type | info:eu-repo/semantics/masterThesis |
| Rights | info:eu-repo/semantics/restrictedAccess |
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