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By Bharat Book Bureau
Dated: Feb 14, 2007
With the use of copulas becoming increasingly important in finance, Copulas provides a varied perspective
of their usage within the field of financial risk management and derivative pricing.
Copulas:From theory to application in finance

With the use of copulas becoming increasingly important in finance, Copulas provides a varied perspective
of their usage within the field of financial risk management and derivative pricing.

You are given examples of the most frequently used methods in both market and credit risk, the pitfalls
they depend upon and an analysis of possible solutions. You will also gain an in-depth understanding of the
methods presented to perform risk calculations and apply them to your own.

Copulas involves a detailed analysis of the field of financial risk management and derivative pricing, and:

Introduces and delves deeply into the theoretical aspects;
Presents the applications of copulas on market and credit risk;
Gives you an outlook on the future development of the application of Copulas in finance; and
Allows you to understand the practical applications of copulas in financial risk management,
An innovative and important title, this truly comprehensive book provides you with the most important
aspects in this field. It is great as a working manual or reference and is recommended for practitioners at
banks, risk professionals, traders, consultants and academics.

Contents

Editor’s Note

Introduction - Jörn Rank
Section 1 - Introduction to Copulas

Nomenclature – Thorsten Schmidt
Coping with Copulas - Thorsten Schmidt
The Estimation of Copulas: Theory and Practice - Arthur Charpentier, Jean-David Fermanian, Olivier
Scaillet
Section 2 - Economic Capital / Risk Aggregation

Numerical Methods for Risk Aggregation based on Copulas - Christian Gründl, Holger Heumann, David
Peretti, Christian Wagner
Economic Capital Calculation and Risk Aggregation - Oliver Kaufmann, Olga Wilderotter
Section 3 - Credit Risk

The Role of Copulas in the CreditRisk+TM Framework - Dirk Ebmeyer, Rolf Klaas, Peter Quell
Dependency Measurement in Counterparty Credit Risk - Colin Burke
Section 4 - Market Risk

Enhancing the Reliability of Value at Risk Calculations - Jörn Rank