Coping with copulas

Risk magazine
01 Jun 2005

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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

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