Christian Genest

Copula Modeling in Finance: a Critical Review and new Applications

In recent years, there has been a phenomenal surge of interest in copula-based methodology in finance, where it is now widely recognized as a flexible tool for analyzing and modeling stochastic dependence between financial markets, products and risk factors. A critical review of these applications of copula theory will be provided. The pros and cons of this modeling approach will be stressed, along with common pitfalls and open issues. Innovative applications will be used for illustration purposes.