Copulas: An Open Field for Risk Management
8 Pages Posted: 26 Nov 2007
Date Written: March 23, 2001
In this paper, we show that copulas are a very powerful tool for risk management since it fulfills one of its main goals: the modelling of dependence between the individual risks. That is why this approach is an open field for risk.
Keywords: Copulas, market risk, credit risk, operational risk
JEL Classification: G00
Suggested Citation: Suggested Citation