Work

Copulas : an open field for risk management

Year: 2001

Type: report

Abstract: In this paper, we show that copulas are a very powerful tool for risk management since it fulfills one of its main goals: the modelling of dependence between the individual risks. That is why this approach is an open field for risk.

Source: Warwick Research Archive Portal (University of Warwick)

DOI: 10.82444/warw.33483451

Authors: Eric Bouyé, Valdo Durrleman, Ashkan Nikeghbali, Gaël Riboulet, Thierry Roncalli

Institutions: World Bank, Centre National de la Recherche Scientifique, École Polytechnique, Centre de Mathématiques Appliquées de l'École polytechnique, Université d'Évry Val-d'Essonne

Language: English

Topic: Financial Risk and Volatility Modeling

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: green

OpenAlex ID: W1843522101

Cites: 34

Cited by: 25

Related to: 10