This tome provides the reader with a background on simulating copulas and multivariate distribution in general. It unifies the scattered literature on the simulation of various families of copulas as well as on different construction principles

Appropriate modelling of loan default correlation is a prerequisite for effective credit risk management. In this study we provide an insight into the use of the copula functions, particularly addressing the key question of why the Gaussian copula approach failed to detect the high loan default...