Copulas for Finance - A Reading Guide and Some Applications
69 Pages Posted: 26 Nov 2007 Last revised: 3 Apr 2009
Date Written: March 7, 2000
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: Multivariate distribution, dependence structure, concordance measures, scoring, Markov processes, risk management, extreme value theory, stress testing, operational risk, market risk, credit risk
JEL Classification: G00
Suggested Citation: Suggested Citation
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