Optimal mass transport: a viable alternative to copulas in financial risk modeling?

Sammanfattning: 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.