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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
    1. Hansen, Lars Peter, 1982. "Large Sample Properties of Generalized Method of Moments Estimators," Econometrica, Econometric Society, vol. 50(4), pages 1029-1054, July.
    2. 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.
    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. 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.
    5. 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.
    Full references (including those not matched with items on IDEAS)

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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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