The copula tag has no wiki summary.
11
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2answers
420 views
Copula models and the distribution of the sum of random variables without Monte Carlo
There is a vast literature on copula modelling. Using copulas I can describe the joint law of two (and more) random variables $X$ and $Y$, i.e. $F_{X,Y}(x,y)$.
Very often in risk management (credit ...
4
votes
0answers
63 views
Estimation of ranks of log-returns via copula
I have successfully chosen and estimate a copula for the ranks of the log-returns of my actions. My question is, since I have worked with the ranks instead of directly the log-returns (in order to be ...
3
votes
1answer
78 views
Is there a copula that can estimate negative tail dependence?
I have encountered numerous copula estimators that can estimate time-invariant and time-varying linear and non-linear correlations on the interval $[-1,1]$, and these estimators are fully consistent ...
4
votes
2answers
205 views
Generate correlated random variables from Normal and Gamma distributions
I want to generate a random vector $z$ of dimension $k+m$ with some given correlation matrix $\Sigma$, such that the first $k$ elements of the vector are distributed normally and the last $m$ elements ...
3
votes
3answers
388 views
Do I need a copula to accurately estimate the VaR of a portfolio of risky assets?
I need to estimate the daily VaR of a portfolio of various exposures in $n$ risky assets (say equity futures).
The simplest approach, I think, would be to just estimate VaR from a multivariate normal ...
9
votes
1answer
305 views
copula-marginal algorithm
has there been any interesting work or advances on the copula-marginal algorithm (CMA) as proposed by
Attilio Meucci. I am unable to find anything on the web other then the original article, here is ...
