In a modern finance theory the concept of correlation is of high importance. However, Embrechts, McNeil and Straumann (1999) argue that this consept is a source of confusion in that frame. Financial theory refers to the term "correlation" to describe any type of dependence between random varibles. When in fact, correlation is a mearuse of a particular dependence structure. While it might be a decent measure of dependence when risks are eliptically distributed, this will not be true in realm where risks do not follow elliptical or spherical distributions [5]. Section 2.1 concentrates on types of dependence measures, their limitations and relationships with copula functions. 

2.1. Measures of Dependence

2.1.1. Linear correlation