This paper examines the marginal distributions of stocks and bonds, and a copula between the movement of stock prices and interest rates. Because some widely used aggregation methods such as variance-covariance tend to underestimate the risk of an aggregated portfolio, a copula is utilized for...

This paper surveys several applications of parametric copulas to market portfolios, credit portfolios, and enterprise risk management in the banking industry, focusing on how to capture stressed conditions. First, we show two simple applications for market portfolios: correlation structures for...