Bouyé, Eric, Durrleman, Vado, Nikeghbali, Ashkan, Riboulet, Gael and Roncalli, Thierry (2001) Copulas : an open field for risk management. Working Paper. University of Warwick: Warwick Business School Financial Econometrics Research Centre. Working Papers Series, Vol.2001 (No.1).

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Abstract

One of the main issues of risk management is the aggregation
of individual risks. A powerful concept to
aggregate the risks — the copula function — has been
introduced in finance by Embrechts, McNeil, and
Straumann [1999,2000]. In their papers, the authors
clarify the essential concepts of dependence and correlation
and certainly will greatly influence the risk
management industry. The goal of this paper is to provide
simple applications for the practical use of copulas
for risk management from an industrial point of view.
First, we remind some basics about copulas. Then,
some applications of copulas for market risk, credit risk
and operational risk are given. We will not provide a
full mathematical treatment of the subject and we refer
interested readers to Joe [1997] or Nelsen [1999].

Item Type:	Working or Discussion Paper (Working Paper)
Subjects:	H Social Sciences > HB Economic Theory Q Science > QA Mathematics
Divisions:	Faculty of Social Sciences > Warwick Business School > Financial Econometrics Research Centre Faculty of Social Sciences > Warwick Business School
Library of Congress Subject Headings (LCSH):	Copulas (Mathematical statistics), Risk management -- Mathematical models, Econometrics
Series Name:	Working Papers Series
Publisher:	Warwick Business School Financial Econometrics Research Centre
Place of Publication:	University of Warwick
Official Date:	2001
Dates:	Date Event 2001 Published
Volume:	Vol.2001
Number:	No.1
Status:	Not Peer Reviewed
Access rights to Published version:	Open Access

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