Coping with copulas

Risk magazine
01 Jun 2005

Tweet
Facebook
LinkedIn
Save this article
Send to
Print this page

Copula Methods in Finance

by Umberto Cherubini, Elisa Luciano and Walter Vecchiato

John Wiley and Sons

310 pages, £60

ISBN 0470863447

You would be hard pressed to find a market practitioner or empirically orientated academic who still believes asset returns are well described by a normal distribution. Nonetheless, it would not be hard to find someone who still uses linear correlation as their sole measure of dependence between risky assets or exposures, even though linear correlation is unable, for

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact [email protected] or view our subscription options here: http://subscriptions.risk.net/subscribe

You are currently unable to print this content. Please contact [email protected] to find out more.

You are currently unable to copy this content. Please contact [email protected] to find out more.

You may share this content using our article tools. Printing this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/

If you would like to purchase additional rights please email [email protected]

You may share this content using our article tools. Copying this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/

If you would like to purchase additional rights please email [email protected]