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Optimal mass transport: a viable alternative to copulas in financial risk modeling?
KTH, School of Engineering Sciences (SCI), Mathematics (Dept.).
2018 (English)Independent thesis Advanced level (degree of Master (Two Years)), 20 credits / 30 HE creditsStudent thesisAlternative title
Optimal masstransport som ett alternativ till copulas i finansiell riskmodellering (Swedish)
Abstract [en]

Copulas as a description of joint probability distributions is today common when modeling financial risk. The optimal mass transport problem also describes dependence structures, although it is not well explored. This thesis explores the dependence structures of the entropy regularized optimal mass transport problem. The basic copula properties are replicated for the optimal mass transport problem. The estimation of the parameters of the optimal mass transport problem is attempted using a maximum likelihood analogy, but only successful when observing the general tendencies on a grid of the parameters.

Abstract [sv]

Copulas som en beskrivning av simultanfördelning är idag en vanlig modell för finansiell risk. Optimala masstransport problemet beskriver också simultant beroende mellan fördelningar, även om det är mindre undersökt. Denna uppsats undersöker beroendestrukturer av det entropiregulariserade optimala masstransport problemet. De basala egenskaperna hos copulas är replikerade för det optimala masstransport problemet. Ett försök att skatta parametrarna i det optimala masstransport problemet görs med en maximum-likelihood liknande metod, men är endast framgångsrik i att uppsakata de generella tendenserna på en grid av parametrarna.

Place, publisher, year, edition, pages
2018.
Series
TRITA-SCI-GRU ; 2018:305
Keywords [en]
Optimal mass transport, Financial risk, Copulas
National Category
Probability Theory and Statistics
Identifiers
URN: urn:nbn:se:kth:diva-231829OAI: oai:DiVA.org:kth-231829DiVA, id: diva2:1231224
Subject / course
Mathematical Statistics
Educational program
Master of Science - Applied and Computational Mathematics
Supervisors
Examiners
Available from: 2018-07-05 Created: 2018-07-05 Last updated: 2018-07-05Bibliographically approved

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CiteExportLink to record
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  • apa
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