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Copulas for finance

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Author Info

  • Bouye, Eric
  • Durlleman, Valdo
  • Nikeghbali, Ashkan
  • Riboulet, Gaël
  • Roncalli, Thierry

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.

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File URL: http://mpra.ub.uni-muenchen.de/37359/
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Bibliographic Info

Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 37359.

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Date of creation: 07 Mar 2000
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Handle: RePEc:pra:mprapa:37359

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Related research

Keywords: Copula; multivariate distribution; dependence structure; concordance measures; scoring; Markov processes; risk management; extreme value theory; stress testing; operational risk; market risk; credit risk;

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References

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  1. Hansen, Lars Peter, 1982. "Large Sample Properties of Generalized Method of Moments Estimators," Econometrica, Econometric Society, vol. 50(4), pages 1029-54, July.
  2. Yun, Seokhoon, 1997. "On Domains of Attraction of Multivariate Extreme Value Distributions under Absolute Continuity," Journal of Multivariate Analysis, Elsevier, vol. 63(2), pages 277-295, November.
  3. Cuadras, C. M., 1992. "Probability distributions with given multivariate marginals and given dependence structure," Journal of Multivariate Analysis, Elsevier, vol. 42(1), pages 51-66, July.
  4. Joe, Harry & Hu, Taizhong, 1996. "Multivariate Distributions from Mixtures of Max-Infinitely Divisible Distributions," Journal of Multivariate Analysis, Elsevier, vol. 57(2), pages 240-265, May.
  5. Deheuvels, Paul, 1991. "On the limiting behavior of the Pickands estimator for bivariate extreme-value distributions," Statistics & Probability Letters, Elsevier, vol. 12(5), pages 429-439, November.
  6. Straetmans, Stefan, 2000. "Extremal spillovers in financial markets," Serie Research Memoranda 0013, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
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