Copulas are a general tool to construct multivariate distributions and to investigate dependence structure
between random variables. However, the concept of copula is not popular in Finance. In this paper, we
show that copulas can be extensively used to solve many …nancial problems


Eric Bouyé
Financial Econometrics Research Centre
City University Business School
London
Valdo Durrleman Ashkan Nikeghbali Gaël Riboulet Thierry Roncalli¤
Groupe de Recherche Opérationnelle
Crédit Lyonnais
Paris
July 23, 2000