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A Short, Comprehensive, Practical Guide to Copulas

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

12 Pages Posted: 9 Sep 2011  

Attilio Meucci

ARPM - Advanced Risk and Portfolio Management

Date Written: May 20, 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.

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

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

Attilio Meucci (Contact Author)

ARPM - Advanced Risk and Portfolio Management ( email )

HOME PAGE: http://www.arpm.co/

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