A Short, Comprehensive, Practical Guide to Copulas
GARP Risk Professional, p. 22-27, October 2011
12 Pages Posted: 9 Sep 2011
Date Written: May 20, 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.
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
Suggested Citation: Suggested Citation