An Introduction to Copulas

These notes provide an introduction to modeling with copulas. Copulas are the mechanism which allows us to isolate the dependency structure in a multivariate distribution. In particular, we can construct any multivariate distribution by separately specifying the marginal distributions and the copula. Copula modeling has played an important role in finance in recent years and has been a source of controversy and debate both during and since the financial crisis of 2008 / 2009.