Copulas for finance

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.

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Year of publication:	2000-03-07
Authors:	Bouye, Eric ; Durlleman, Valdo ; Nikeghbali, Ashkan ; Riboulet, Gaël ; Roncalli, Thierry
Institutions:	Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
Subject:	Copula \| multivariate distribution \| dependence structure \| concordance measures \| scoring \| Markov processes \| risk management \| extreme value theory \| stress testing \| operational risk \| market risk \| credit risk

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Extent:	application/pdf
Series:	MPRA Paper.
Type of publication:	Book / Working Paper
Classification:	C51 - Model Construction and Estimation ; c46 ; C01 - Econometrics
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011114301