Copulas : an open field for risk management

摘要: One of the main issues risk management is aggregation of individual risks. A powerful concept to aggregate risks — copula function has been introduced in finance by Embrechts, McNeil, and Straumann [1999,2000]. In their papers, authors clarify essential concepts dependence and correlation and certainly will greatly influence risk management industry. The goal this paper to provide simple applications for practical use copulas for from an industrial point view. First, we remind some basics about copulas. Then, some copulas market risk, credit risk and operational are given. We not provide a full mathematical treatment subject refer interested readers Joe [1997] or Nelsen [1999].