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July 23, 2005
Modelling Dependence with Copulas for Risk Management
Modelling of dependence is one of the most rucial issues in risk
management. Whereas classically independence was equated to linear
correlation, more recently, mainly due to extremal market moves,
the limitations of the linear correlation concept were strongly felt.
In order to stress test dependence in a financial or insurance
portfolio, the notion of copula offers a versatile tool.
* Basic properties of copulas,
* The underlying simulation and numerical issues,
* Use of copula based techniques in integrated risk management.
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Posted by omor at July 23, 2005 06:25 PM