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Copulas for Finance - A Reading Guide and Some Applications

by: Eric Bouyé, Valdo Durrleman, Ashkan Nikeghbali, Gaël Riboulet, Thierry Roncalli
Social Science Research Network Working Paper Series (26 November 2007)  Key: citeulike:7134716

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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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