Copulas for finance
AbstractCopulas 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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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 37359.
Date of creation: 07 Mar 2000
Date of revision:
Copula; multivariate distribution; dependence structure; concordance measures; scoring; Markov processes; risk management; extreme value theory; stress testing; operational risk; market risk; credit risk;
Find related papers by JEL classification:
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
- C46 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Specific Distributions
- C01 - Mathematical and Quantitative Methods - - General - - - Econometrics
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