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An application of copulas in modeling interest rate and equity returns in the Egyptian market
Despite existing in the statistical literature since the early 20th century, copulas have only started to become widely applied to areas such as finance, economics, and actuarial science in the 21st century. With several economic crises plaguing the world at a greater frequency in the past few decad...
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| Format: | Thesis |
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AUC Knowledge Fountain
2018
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| Summary: | Despite existing in the statistical literature since the early 20th century, copulas have only started to become widely applied to areas such as finance, economics, and actuarial science in the 21st century. With several economic crises plaguing the world at a greater frequency in the past few decades, copulas have become an invaluable tool in risk management, given their applicability in assessing the co-movement of assets in financial portfolios. However, no attempts to employ these functions in modeling interest rate and stocks in the Egyptian market have been made. This research focuses on assessing the individual as well as the group behavior of a portfolio of bonds and stocks in the Egyptian market across the past decade through finding and fitting the most appropriate marginal distribution functions and a copula function. |
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