Copulas for Finance - A Reading Guide and Some Applications

69 Pages Posted: 26 Nov 2007 Last revised: 3 Apr 2009

See all articles by Eric Bouyé

Eric Bouyé

World Bank

Valdo Durrleman

Ecole Polytechnique - Centre de Mathematiques Appliquees - CNRS

Ashkan Nikeghbali

affiliation not provided to SSRN

Gaël Riboulet

Natixis

Thierry Roncalli

Amundi Asset Management; University of Evry

Date Written: 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.

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

Suggested Citation

Bouyé, Eric and Durrleman, Valdo and Nikeghbali, Ashkan and Riboulet, Gaël and Roncalli, Thierry, Copulas for Finance - A Reading Guide and Some Applications (March 7, 2000). Available at SSRN: https://ssrn.com/abstract=1032533 or http://dx.doi.org/10.2139/ssrn.1032533

Eric Bouyé

World Bank ( email )

1818 H Street, NW
Washington, DC 20433
United States

Valdo Durrleman

Ecole Polytechnique - Centre de Mathematiques Appliquees - CNRS ( email )

Palaiseau, 91128
France

Ashkan Nikeghbali

affiliation not provided to SSRN ( email )

No Address Available

Gaël Riboulet

Natixis ( email )

47 Quai d'Austerlitz
Paris, France 75014
France

Thierry Roncalli (Contact Author)

Amundi Asset Management ( email )

90 Boulevard Pasteur
Paris, 75015
France

University of Evry ( email )

Boulevard Francois Mitterrand
F-91025 Evry Cedex
France

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