Copulas for Finance - A Reading Guide and Some Applications
Ecole Polytechnique - Centre de Mathematiques Appliquees - CNRS
affiliation not provided to SSRN
Crédit Lyonnais - Groupe de Recherche Opérationnelle
Lyxor Asset Management
March 7, 2000
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: G00working papers series
Date posted: November 26, 2007 ; Last revised: April 3, 2009
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