The benchmark theory of mathematical finance is the Black-Scholes-Merton (BSM) theory, based on Brownian motion as the driving noise process for stock prices. Here the distributions of financial returns of the stocks in a portfolio are multivariate normal. Risk management based on BSM...

A general, copula-based framework for measuring the dependence among financial time series is presented. Particular emphasis is placed on multivariate conditional Spearman's rho (MCS), a new measure of multivariate conditional dependence that describes the association between large or extreme...

We use portfolios of passive investment strategies to replicate the interest risk of banks' banking books. The following empirical statements are derived. (i) Changes in banks' market value and in their net interest income are highly correlated, irrespective of the banks' portfolio composition....