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Modelling Dependence with Copulas and Applications to Risk Management

20031,058 citationsBook Chapter

Authors

Paul Embrechts · ETH Zurich

Filip Lindskog · ETH Zurich

Alexander J. McNeil · ETH Zurich

Topics & Keywords

Financial Risk and Volatility Modeling Probability and Risk Models Risk and Portfolio Optimization

Publication Details

Published in: Elsevier eBooks

DOI: 10.1016/b978-044450896-6.50010-8

Field-Weighted Citation Impact: 93.10

Modelling Dependence with Copulas and Applications to Risk Management | Researchclopedia