One paper and one presentation on copula are shared for free.

Paper

Financial Applications of Copula Functions
Jean-Fr´ed´eric Jouanin, Ga¨el Riboulet and Thierry Roncalli
Groupe de Recherche Op´erationnelle, Cr´edit Lyonnais, France
Abstract
Copula functions have been introduced recently in finance. They are a general tool to construct
multivariate distributions and to investigate dependence structure between random variables. In this
paper, we show that copula functions may be extensively used to solve many financial problems. As
examples we show how to them to monitor the market risk of basket products, to measure the credit risk
of a large pool of loans and to compute capital requirements for operational risk.

Presentation

Financial Applications of Copulas
CREREG, Rennes, 11/16/00
Thierry Roncalli
Groupe de Recherche Op´erationnelle
Cr´edit Lyonnais
Joint work with Eric Bouy´e, Valdo Durrleman,
Ashkan Nikeghbali and Ga¨el Riboulet.