Copulas: From theory to application in Finance

Jörn Rank

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Financial Risk and Volatility Modeling Stochastic processes and financial applications Risk and Portfolio Optimization

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Editor's Note. 1. Introduction - Jorn Rank. Section 1 - Introduction to Copulas. 2. Nomenclature - Thorsten Schmidt . 3. Coping with Copulas - Thorsten Schmidt . 4. The Estimation of Copulas: Theory and Practice - Arthur Charpentier, Jean-David Fermanian, Olivier Scailet. Section 2 - Economic Capital / Risk Aggregation. 5. Numerical Methods for Risk Aggregation based on Copulas - Christian Grandl, Holger Heumann, David Peretti, Christian Wagner. 6. Economic Capital Calculation and Risk Aggregation - Oliver Kaufmann, Olga Wilderotter. Section 3 - Credit Risk. 7. The Role of Copulas in the CreditRisk+TM Framework - Dirk Ebmeyer, Rolf Klaas, Peter Quell. 8. Dependency Measurement in Counterparty Credit Risk - Colin Burke. Section 4 - Market Risk. 9. Enhancing the Reliability of Value at Risk Calculations - Jorn Rank. Section 5 - Pricing of Derivatives. 10. Pricing Multivariate Currency Options with Copulas - Mark Salmon, Christoph Schleicher. 11. An Article on the Valuation in the Structured Credit Area - Christian Bluhm, Ludger Overbeck. 12. A Paper on Computing Prices and Deltas of nth to Default Credit Default Swaps - Dherminder Kainth, Mark Joshi. Copulas for Equity Derivatives - Oliver Brockhaus

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