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Copulas for finance

Author

Listed:
  • 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.

Suggested Citation

  • Bouye, Eric & Durlleman, Valdo & Nikeghbali, Ashkan & Riboulet, Gaël & Roncalli, Thierry, 2000. "Copulas for finance," MPRA Paper 37359, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:37359
    as

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    References listed on IDEAS

    as
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    4. Christian Genest & Kilani Ghoudi & Louis-Paul Rivest, 1998. "“Understanding Relationships Using Copulas,” by Edward Frees and Emiliano Valdez, January 1998," North American Actuarial Journal, Taylor & Francis Journals, vol. 2(3), pages 143-149.
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    More about this item

    Keywords

    Copula; multivariate distribution; dependence structure; concordance measures; scoring; Markov processes; risk management; extreme value theory; stress testing; operational risk; market risk; credit risk;
    All these keywords.

    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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