The Copula Page

Main Papers

• Financial Applications of Copula Functions (Jouanin, Riboulet, Roncalli)

  This paper is a survey of the different applications of copula functions in finance. This paper has been published in the book Risk Measures for the 21st Century edited by Giorgio Szego. The working paper is available at SSRN.

• Copulas for Finance (Bouyé, Durrleman, Nikeghbali, Riboulet, Roncalli

  An important paper on the use of copulas in finance. The paper is available at SSRN.

Copulas and Risk Management

• Copulas, Multivariate Risk-Neutral Distributions and Implied Dependence Functions (Coutant Durrleman, Rapuch, Roncalli)

  In this paper, we use copulas to define multivariate risk-neutral distributions. We can then derive general pricing formulas for multi-asset options and best possible bounds with given volatility smiles. This paper is available at SSRN.

• Technical Note: Dependence and two-asset Options Pricing (Rapuch, Roncalli)

  In this paper, we consider some problems of two-asset options pricing with respect to the correlation. We then generalize the results by considering copula functions. This paper has been published in Journal of Computational Finance. The working paper is available here.

• Modelling Dependence for Credit Derivatives with Copulas (Jouanin, Rapuch, Riboulet, Roncalli)

  In this paper, we address the problem of incorporating default dependency in intensity-based credit risk models. This paper is available at SSRN.

• Multivariate Survival Modelling: A Unified Approach with Copulas (Georges, Lamy, Nicolas, Quibel, Roncalli)

  A survey on the use of copulas for multivariate survival modelling. This paper is available at SSRN.

• Copulas: An Open Field for Risk Management (Bouyé, Durrleman, Nikeghbali, Riboulet, Roncalli)

  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.This paper is available at SSRN.

Other Materials

• Articles
  • Prise en compte du skew de corrélation dans le princing des CDO^2 (paper available here)
  • Beyond Conditionnally Independent Defaults (paper available at SSRN)
  • A Note about the Conjecture on Spearman's Rho and Kendall's Tau (paper available at SSRN)
  • Revisiting the Dependence between Financial Markets with Copulas (paper available at SSRN)
  • How to Get Bounds for Distribution Convolutions? (paper available at SSRN)
  • Copulas Approximation and New Families (paper available at SSRN)
  • Which Copula is the Right One? (paper available at SSRN)
  • A Simple Transformation of Copulas (paper available at SSRN)
• Conferences & Seminars
  • University of Evry, February 7, 2003 -- A critical approach to the copula model for credit derivatives (slides available here)
  • CREST / LFA, February 6, 2003 -- Some pratical issues on credit risk (slides available here)
  • Séminaire de Mathématiques et Finance Louis Bachelier, Institut Henri Poincaré, October 26, 2001 -- Pricing multi-asset options and credit derivatives with copulas (slides available here)
  • Statistics 2001, Concordia University, Montréal, July 8, 2001 -- Modelling dependence in finance using copulas (slides available here)
  • Stochastic Models in Finance, Ecole Polytechnique, April 23, 2001 -- Understanding the dependence in financial models (slides available here)
  • International Finance Conference, Hammam-Sousse, March 17, 2001 -- What are the most important copulas in finance? (slides available here)
  • Statistical Methods in Integrated Risk Management, Frontiers in Finance, January 26, 2001 -- Copulas: a tool for modelling dependence in finance (slides available here)
  • University of Rennes & ENSAI, November 16, 2000 -- Financial applications of copulas (slides available here)
  • 17th International Conference in Finance, French Finance Association, June 27, 2000 -- Copulas for finance
  • First World Congress of the Bachelier Finance Society, June 29, 2000 -- Copulas for finance
• Lecture Notes (in French)
  • ENSAI -- Gestion des Risques Multiples : Copules, Aspects Multidimensionnels du Risque et Risque de Crédit (lectures notes available here)
  • Université Paris IX Dauphine -- Théorie des Valeurs Extrëmes ou Modélisation des Evènements Rares pour la Gestion des Risques (lectures notes available here)
  • ENSAI -- La théorie des Valeurs Extrêmes et la Gestion des Risques de Marché (lectures notes available here)
  • ENSAE -- Value-at-Risk et Mesure de Capital Economique (lectures notes available here)

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