A new breed of copulas for risk and portfolio management
Attilio Meucci introduces the copula-marginal algorithm, a commercially viable technique to dramatically expand the types and uses of copulas in financial applications
The multivariate distribution of a set of risk factors such as stocks returns, interest rates or volatility surfaces is fully specified by the separate marginal distributions of the factors and by their copula or, loosely speaking, the dependence among the factors.
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A new breed of copulas for risk and portfolio management.
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