Copulas: An Open Field for Risk Management

8 Pages Posted: 26 Nov 2007

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 23, 2001

Abstract

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

Bouyé, Eric and Durrleman, Valdo and Nikeghbali, Ashkan and Riboulet, Gaël and Roncalli, Thierry, Copulas: An Open Field for Risk Management (March 23, 2001). Available at SSRN: https://ssrn.com/abstract=1032557 or http://dx.doi.org/10.2139/ssrn.1032557

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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