Despite existing in the statistical literature since the early 20th century, copulas have only started to become widely applied to areas such as finance, economics, and actuarial science in the 21st century. With several economic crises plaguing the world at a greater frequency in the past few decades, copulas have become an invaluable tool in risk management, given their applicability in assessing the co-movement of assets in financial portfolios. However, no attempts to employ these functions in modeling interest rate and stocks in the Egyptian market have been made. This research focuses on assessing the individual as well as the group behavior of a portfolio of bonds and stocks in the Egyptian market across the past decade through finding and fitting the most appropriate marginal distribution functions and a copula function.


Economics Department

Degree Name

MA in Economics

Graduation Date


Submission Date

May 2018

First Advisor

Bouaddi, Mohammed

Committee Member 1

Noureldin, Diaa

Committee Member 2

Ahmed, Neveen


27 p.

Document Type

Master's Thesis


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Institutional Review Board (IRB) Approval

Not necessary for this item