Copulas for finance

Eric Bouyé, Valdo Durlleman, Ashkan Nikeghbali, Gaël Riboulet and Thierry Roncalli

MPRA Paper from University Library of Munich, Germany

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.

Keywords: Copula; multivariate distribution; dependence structure; concordance measures; scoring; Markov processes; risk management; extreme value theory; stress testing; operational risk; market risk; credit risk (search for similar items in EconPapers)
JEL-codes: C01 C46 C51 (search for similar items in EconPapers)
Date: 2000-03-07
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (69)

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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:37359

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