Chapter 8 – Modelling Dependence with Copulas and Applications to Risk Management

By Paul Embrechts, Filip Lindskog, Alexander J. McNeil. 2003

1,210 citations recorded by the source corpus.

Subfields: Finance, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/cf24d0d5299623affcdf9643163870c87aaf3d45

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Citations in the corpus

On the exact region determined by Kendall's τ and Spearman's ρ (2015, background): “Notation and Preliminaries As already mentioned before, C will denote the family of all two-dimensional copulas, see [3, 5, 13, 16].”
The Structure and Degree of Dependence - A Quantile Regression Approach (2012, neutral): “Conversely, the dependence can be viewed as ‘conditional’ if exogenous (control) variables are added to the model.5 The quantile-based dependence vector β(τ) connects y and x 4See Embrechts et al. (2002, 2003) for applications of tail dependence in risk management.”
Estimation and Model Selection of Copulas with an Application to Exchange Rates (2007, methodology): “More mathematical treatments of copulas are the books by Nelson (2006) and Joe (1997) or Embrechts et al. (2003).”
Dependence patterns across financial markets: a mixed copula approach (2006, methodology): “Below we show how we compute VaR using the mixed copula model and compare our results to that computed under the Gaussian assumption.9 9 Embrechts et al. (2003) is a general reference on using copulas in risk management.”
Stable distributions in the Black–Litterman approach to asset allocation (2007, background): “…(2005). zSee Eberlein and Keller (1995), Panorska et al. (1995), Mittnik and Paolella (2000), Rachev and Mittnik (2000) and the references therein, Tokat and Schwartz (2002), Embrechts et al. (2003), and Tokat et al. (2003). where ~rjk ¼ rjk EðrjÞ is the kth centred observation of the jth asset.”
Practical methods for measuring and managing operational risk in the financial sector: a clinical study (2008, background): “Severity distribution – large losses Small-sized samples containing few – if any – exceptional, very severe losses represent a common issue when dealing with operational losses in banks (see Embrechts et al., 2003).”
Inhomogeneous Dependence Modeling with Time-Varying Copulae (2009, neutral): “0 Cðu; . . . ; uÞ=u, where u 2 (0, 1] and bC is the survival copula of C (see Joe 1997 and Embrechts, Lindskog, and McNeil 2003b).”