Konstruktion und Anwendung von Copulas in der Finanzwirtschaft

Abstract

The usage of copulas in modern finance has increased in the recent decades. The main reason for this is the possibility to describe non-linear dependency structures with the help of copulas. Furthermore, a copula allows separating a multivariate distribution into their marginal distributions and their dependency structure. This offers the opportunity to analyze the dependencies between random variables without considerations of their distributions. Applications of copulas range from risk management over pricing of complex financial instruments to portfolio allocation and optimization. The paper pro-vides both a didactical introduction in copula theory and a summary for recent devel-opments in the named research fields.