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Copulas for Finance - A Reading Guide and Some ApplicationsEric BouyéFonds de Réserve pour les Retraites (FRR); FERC, Warwick Business School Valdo DurrlemanEcole Polytechnique - Centre de Mathematiques Appliquees - CNRS Ashkan Nikeghbaliaffiliation not provided to SSRN Gaël Ribouletaffiliation not provided to SSRN Thierry RoncalliUniversite d'Evry March 7, 2000 Abstract: Copulas are a general tool to construct multivariate distributions and to investigate dependence structure between random variables. However, the concept of copula is not popular in Finance. In this paper, we show that copulas can be extensively used to solve many financial problems.
Number of Pages in PDF File: 69 Keywords: Multivariate distribution, dependence structure, concordance measures, scoring, Markov processes, risk management, extreme value theory, stress testing, operational risk, market risk, credit risk JEL Classification: G00 working papers seriesDate posted: November 26, 2007 ; Last revised: April 3, 2009Suggested CitationContact Information
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