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How to combine Gaussian marginals with Gaussian copula to obtain multivariate normals?

in the book "Numerical Methods and Optimization in Finance" I red the following: "Combining the Gaussian copula with Gaussian marginal gives a fancy way of expressing multivariate normals. However, ...
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Copula Value At Risk

Let's suppose I have two asset in my portfolio. I want to compute Copula Value At Risk. Can you help me? This is the code I wrote: ...