Document sans titre

SOME STATISTICAL PITFALLS IN COPULA MODELING
FOR FINANCIAL APPLICATIONS

FERMANIAN, J.-D. *, and SCAILLET, O. **

* CDC Ixis Capital Markets and CREST
** HEC, University of Geneva and FAME

Abstract

In this paper we discuss some statistical pitfalls that may occur in modeling cross-dependences with copulas in financial applications. In particular we focus on issues arising in the estimation and the empirical choice of copulas as well as in the design of time-dependent copulas.

Keywords : Copulas, Dependence Measures, Risk Management.

JEL : C12, C13, C14.