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copula-correlation

  1. C

    Copula

    Hi David, I am having trouble understanding the purpose of the copula. As I understand it, we map a uniform distribution to a normal since we can correlate multiple marginal normals to create a multivariate normal distributions to see how loans default simultaneously. Isn’t this what we do in...
  2. Nicole Seaman

    P1.T2.707. Gaussian Copula (Hull)

    Learning objectives: Define copula and describe the key properties of copulas and copula correlation. Explain tail dependence. Describe the Gaussian copula, Student’s t-copula, multivariate copula, and one-factor copula. Questions: 707.1. Below are the joint probabilities for a cumulative...
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