Multiple risk factor dependence structures: Copulas and related properties

Jianxi Su and Edward Furman

Insurance: Mathematics and Economics, 2017, vol. 74, issue C, 109-121

Abstract: Copulas have become an important tool in the modern best practice Enterprise Risk Management, often supplanting other approaches to modelling stochastic dependence. However, choosing the ‘right’ copula is not an easy task, and the temptation to prefer a tractable rather than a meaningful candidate from the encompassing copulas toolbox is strong. The ubiquitous applications of the Gaussian copula are just one illuminating example.

Keywords: Multivariate distributions; (Tail) dependence; Archimedean copulas; Marshall–Olkin copulas; Factor models; Default risk (search for similar items in EconPapers)
JEL-codes: C02 C51 (search for similar items in EconPapers)
Date: 2017
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Citations: View citations in EconPapers (9)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:insuma:v:74:y:2017:i:c:p:109-121

DOI: 10.1016/j.insmatheco.2017.03.003

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