Copulas for finance

Bouye, Eric and Durlleman, Valdo and Nikeghbali, Ashkan and Riboulet, Gaël and Roncalli, Thierry (2000): Copulas for finance.

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.

• Item Type: MPRA Paper
• Language: English
• Keywords: Copula; multivariate distribution; dependence structure; concordance measures; scoring; Markov processes; risk management; extreme value theory; stress testing; operational risk; market risk; credit risk
• Subjects: C - Mathematical and Quantitative Methods > C5 - Econometric Modeling > C51 - Model Construction and Estimation; C - Mathematical and Quantitative Methods > C4 - Econometric and Statistical Methods: Special Topics > C46 - Specific Distributions ; Specific Statistics; C - Mathematical and Quantitative Methods > C0 - General > C01 - Econometrics

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