Financial Applications of Copula Functions

RISK MEASURES FOR THE 21ST CENTURY, Par Giorgio Szego, ed., John Wiley & Sons, 2004

26 Pages Posted: 26 Nov 2007

See all articles by Jean-Frédéric Jouanin

Jean-Frédéric Jouanin

affiliation not provided to SSRN

Gaël Riboulet

Natixis

Thierry Roncalli

Amundi Asset Management; University of Evry

Abstract

Copula functions have been introduced recently in finance. They are a general tool to construct multivariate distributions and to investigate dependence structure between random variables. In this paper, we show that copula functions may be extensively used to solve many financial problems. As examples we show how to monitor the market risk of basket products, to measure the credit risk of a large pool of loans and to compute capital requirements for operational risk.

Keywords: copula, risk management, market risk, credit risk, operational risk.

JEL Classification: G00

Suggested Citation

Jouanin, Jean-Frédéric and Riboulet, Gaël and Roncalli, Thierry, Financial Applications of Copula Functions. RISK MEASURES FOR THE 21ST CENTURY, Par Giorgio Szego, ed., John Wiley & Sons, 2004. Available at SSRN: https://ssrn.com/abstract=1032588

Jean-Frédéric Jouanin

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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