Abstract

http://ssrn.com/abstract=1847864
 


 



A Short, Comprehensive, Practical Guide to Copulas


Attilio Meucci


SYMMYS

May 20, 2011

GARP Risk Professional, p. 22-27, October 2011

Abstract:     
We provide a visual primer on copulas. We highlight and prove the most important theoretical results. We discuss implementation issues. Documented code is available for download.

Number of Pages in PDF File: 12

Keywords: marginal, Sklar’s theorem, grade, co-monotonic, linear returns, compounded returns, unit cube, scenarios-probabilities, pdf, cdf, quantile, copula-marginal-algorithm

JEL Classification: C1, G11

working papers series





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Date posted: September 9, 2011  

Suggested Citation

Meucci, Attilio, A Short, Comprehensive, Practical Guide to Copulas (May 20, 2011). GARP Risk Professional, p. 22-27, October 2011. Available at SSRN: http://ssrn.com/abstract=1847864 or http://dx.doi.org/10.2139/ssrn.1847864

Contact Information

Attilio Meucci (Contact Author)
SYMMYS ( email )
HOME PAGE: http://www.symmys.com
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