A Short, Comprehensive, Practical Guide to Copulas
ARPM - Advanced Risk and Portfolio Management
May 20, 2011
GARP Risk Professional, p. 22-27, October 2011
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
Date posted: September 9, 2011
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