The Advent of Copulas in Finance

By Christian Genest, M. Gendron, Michaël Bourdeau-Brien. 2009

206 citations recorded by the source corpus.

Subfields: Finance

View Paper: https://www.semanticscholar.org/paper/40048aa766a465938861567d0a52c31bb6411a5d

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Citations in the corpus

Copulas: A Personal View (2009, unknown): “This paper illustrates through simulations the clear advantages connected with the use of rank–based methods for the estimation of dependence parameters, and especially the superiority of the maximum pseudo–likelihood technique originally studied in Genest et al. [20].”
Dependence modeling in non-life insurance using the Bernstein copula (2012, background): “…for modeling dependence between stock returns (Jondeau and Rockinger, 2006), CDO pricing (Hofert and Scherer, 2011), currency option pricing (Salmon and Schleicher, 2006), or internal risk models (Eling and Toplek, 2009); further areas of application can, e.g., be found in Genest et al. (2009a).”
Quantitative Risk Management (2011, unknown): “© QRM 2012 | RiskLab, ETH Zurich 172 Genest et al. (2009): ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● 1970 1975 1980 1985 1990 1995 2000 2005 0 50 10 0 15 0 20 0 A nn ua l n um be r of p ub lic at io ns o n co pu la th eo ry Embrechts, McNeil, Straumann (1998/2002) © QRM…”
Spatial contagion between financial markets: a copula-based approach (2010, unknown): “Relevant applications in finance are given, for example, in [11, 17, 18, 19, 20 , 21, 22].”
The Devil is in the Tails: Actuarial Mathematics and the Subprime Mortgage Crisis (2010, background): “However, its appearance in Embrechts et al. (2002) started an avalanche of copula-driven research; see Genest et al. (2009) .”
Extreme value copulas and max-stable processes (2013, background): “A particular area of interest is finance where the joint modelling of (large) portfolios is crucial [11, 14].”
Modeling Multivariate Distributions with Continuous Margins Using the copula R Package (2010, methodology): “As an alternative to the statistic In, Genest and Rémillard (2004) (see also Genest, Quessy, and Rémillard 2007) studied several ways to combine the 2d − d− 1 statistics MA,n into one global statistic for testing independence.”
Copula Theory: An Introduction (2010, background): “The advent of copulas in finance [78] originated a wealth of investigations about copulas and, especially, applications of copulas.”