Financial Applications of Copula Functions

Copula functions have been introduced recently in finance. They are a general tool to construct multivariate distributions and to investigate dependence structure between random variables. In this paper, we show that copula functions may be extensively used to solve many financial problems. As examples we show how to monitor the market risk of basket products, to measure the credit risk of a large pool of loans and to compute capital requirements for operational risk

MoreLess

Year of publication:	[2007]
Authors:	Jouanin, Jean-Frédéric
Other Persons:	Riboulet, Gaël (contributor) ; Roncalli, Thierry (contributor)
Publisher:	[2007]: [S.l.] : SSRN

freely available

Full text |

More access options

Check Google Scholar

In German libraries (KVK)

I need help

Extent:	1 Online-Ressource (26 p)
Type of publication:	Book / Working Paper
Notes:	In: RISK MEASURES FOR THE 21ST CENTURY, Par Giorgio Szego, ed., John Wiley & Sons, 2004
Classification:	G00 - Financial Economics. General
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012775560