Optimization With Tail-Dependence and Tail Risk: A Copula Based Approach For Strategic Asset Allocation

Francesco Paolo Natale, Department of Economics and Management, Università Milano-Bicocca, Italy

http://www.efmaefm.org/0EFMAMEETINGS/EFMA%20ANNUAL%20MEETINGS/2007-...

This author is now developing his techniques to estimate economic risk capital across multiple lines of business in a financial institution, it is most interesting work.

related work in that space is as follows;-

Modeling and Management of Nonlinear Dependencies - Copulas in Dynamic Financial Analysis
Martin Eling & Denis Toplek

http://www.finance.unisg.ch/org/finance/web.nsf/SysWebRessources/WP...

Copula Concepts in Financial Markets
Svetlozar T. Rachev, University of Karlsruhe, KIT & University of Santa Barbara & FinAnalytica
Michael Stein, University of Karlsruhe, KIT; Wei Sun, University of Karlsruhe, KIT

http://www.statistik.uni-karlsruhe.de/download/Copula_Concepts_in_F...

CALIBRATING AND SIMULATING COPULA FUNCTIONS: AN APPLICATION TO THE ITALIAN STOCK MARKET
Claudio Romano

http://www.gloriamundi.org/picsresources/cd03.pdf

COPULA EFFECT ON INVESTMENT PORTFOLIO OF AN INSURANCE COMPANY
Henrikas Pranevičius, Kristina Šutienė

http://www.tede.vgtu.lt/upload/ukis_zurn/zurnalo_9%20str_h_pranevic...

Multivariate Dependence Modeling Using Pair-Copulas
Doris Schirmacher & Ernesto Schirmacher

http://www.soa.org/library/monographs/other-monographs/2008/april/m...

Pricing Multivariate Currency Options with Copulas
Mark Salmon and Christoph Schleicher

http://www2.warwick.ac.uk/fac/soc/wbs/research/wfri/rsrchcentres/fe...

Modeling Dependencies in Finance using Copulae
Wolfgang Härdle, Ostap Okhrin, Yarema Okhrin

http://sfb649.wiwi.hu-berlin.de/papers/pdf/SFB649DP2008-043.pdf

Range of practices and issues in economic capital modelling
Consultative Document, Basel Committee on Banking Supervision

http://www.bis.org/publ/bcbs143.pdf