Correlation trading denotes the trading activity aimed at exploiting changes in correlation or more generally in the dependence structure of assets or risk factors. Likewise, correlation risk is defined as the exposure to losses triggered by changes in correlation. The copula function technique, which enables to analyze the dependence structure of a joint distribution independently from the marginal distributions, is the ideal tool to assess the impact of changes in market comovements on the prices of assets and the amount of risk in a financial position.