[Forum SIS] Bocconi DEC Seminar: F. Durante - May 6th

[Anna Simoni]

Dear colleagues, 



The Department of Decision Sciences (DEC) of Bocconi University is pleased to invite you to the seminar 
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DEC Seminar 
Università Bocconi, 
Room 3-E4-SR03 
Via Roentgen 1 - 3rd floor 
Time: 12:30pm 

The DEC seminar schedule is available at http://www.unibocconi.eu/statseminar 

Thursday, May 6th 

Fabrizio Durante 
(School of Economics and Management, Free University of Bozen-Bolzano, Italy) 

"Tail dependence and copulas " 

Abstract: 

The concept of copula represents a 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 possible applications to finance, insurance and natural sciences. 
According to Sklar's Theorem, a variety of multivariate distribution functions can be constructed by putting together univariate marginal distribution functions and a suitable copula, expressing the association among the variables of interest. In particular, copulas allow to construct flexible multivariate models that exhibit various kinds of dependencies in the tails of their distributions, a feature of great interest in risk management. 
In this talk, we present some recent results concerning the use (and some misuses) of copulas for capturing tail dependencies. In particular, we will show how a multivariate distribution function having a specific tail behaviour can be obtained by considering special copula constructions. 
Moreover, we introduce and discuss the concept of threshold copula, emphasizing its possible application to the detection of (spatial) contagion between two financial markets. 
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Sincerely, 
Anna Simoni 

-- -------------------------- 
Anna Simoni 

Assistant Professor 
Department of Decision Sciences 
Università Bocconi 
via Roentgen, 1 
20136 Milano - Italy 

Email:anna.simoni a unibocconi.it 
Webpage: http://faculty.unibocconi.eu/annasimoni/ 


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