Johannes Kepler Symposium on Mathematics
As part of the Johannes Kepler symposium on mathematics Dr. Fabrizio Durante, Department of Knowledge-Based Mathematical Systems, JKU Linz, will give a public talk (followed by a discussion) on Wed, Nov. 4, 2009 at 16:15 o'clock at HS 9 on the topic of "Modelling Dependence with Copulas" . The organziers of the symposium,O.Univ.-Prof. Dr. Ulrich Langer,
Univ.-Prof. Dr. Gerhard Larcher
A.Univ.-Prof. Dr. Jürgen Maaß, and
die ÖMG (Österreichische Mathematische Gesellschaft),
hereby cordially invite you.
Series B - Mathematical Colloquium:
The intention is to present new mathematical results for an audience interested in general mathematics.
Modelling Dependence with Copulas
The concept of copula represents a flexible way for describing the dependence among the components of a given random vector. As such, it has gained a lot of popularity during the last years, especially in view of its applications to finance, insurance and natural sciences.
In this talk, we present some recent results concerning the use (and some abuses) of copulas for capturing tail dependencies among random variables. In particular, we will show how a variety of multivariate stochastic models having a specific tail behaviour can be obtained by considering special copula constructions.
Moreover, we introduce and discuss the recent concept of threshold copula, emphasizing its possible application to the detection of (spatial) contagion between two financial markets.