Copulas as an Integrated Risk Management Tool

Risk 2001 Europe, April 10-11, Paris

Contents of this presentation Introduction to copulas:

correlation breakdown
correlation pitfalls
modelling dependence via copulas
dependence-scenario testing in IRM
using copulas to model joint extreemes
some useful copula families

Case studies:

credit risk: stress testing default correlation
market risk: going beyond normal dependence

The slides are available in:

Portable document format (369 kB)
Postscript format (481 kB)

Last update: April 12, 2001.