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A Short, Comprehensive, Practical Guide to CopulasAttilio MeucciSYMMYS; Kepos Capital 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 seriesDate posted: September 9, 2011Suggested CitationContact Information
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