||1 of 1 people found the following review helpful.| Decent Overview, BUT Simply Using the R Copula Package is Much More Informative|By Customer|The book does a good job explaining the math behind the copulas and where they are applicable. I found this book sorely lacking on any application though. An accompaniment of R code for many of the concepts walking through a real application would deepen understanding a great deal. ||'This book is a very valuable source for modeling specialists in the financial industry. It follows a non-technical but mathematically rigorous approach. Many illustrations as well as examples help readers to develop a solid understanding of copula functions
This is a succinct guide to the application and modelling of dependence models or copulas in the financial markets. First applied to credit risk modelling, copulas are now widely used across a range of derivatives transactions, asset pricing techniques and risk models and are a core part of the financial engineer's toolkit.
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