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.

In this paper, we consider the open question on Spearman's rho and Kendall's tau of Nelsen [1991]. Using a technical hypothesis, we can answer in the positive. One question remains open: how can we understand the technical hypothesis? Because this hypothesis is not right in general, we could...

Strategies are often analyzed without confronting quantitatively the clients' views. They also may present an overfitting problem which is detrimental to the investor and the client. In this paper, we present a new quantitative framework that enables the clients and investors alike to test their...

This handbook in Sustainable Finance corresponds to the lecture notes of the course given at University Paris-Saclay, ENSAE, Sorbonne University and Paris Cité University. It covers the following chapters: 1. Introduction, 2. ESG Scoring, 3. Financial Performance of ESG Investing, 4....

This handbook in Sustainable Finance corresponds to the lecture notes of the course given at University Paris-Saclay, ENSAE, Sorbonne University and Paris Cité University. It covers the following chapters: 1. Introduction, 2. ESG Scoring, 3. Financial Performance of ESG Investing, 4....