Perturbed Gaussian copula: introducing the skew effect in co-dependence

Perturbed Gaussian copula: introducing the skew effect in co-dependence

Copula models arise in the market when quoted information about the behaviour of single assets is available but very little is known about their joint relations. Information about the joint distribution of assets is captured in the prices of basket products written on them. However, as a lot of information is embedded in a single price, some assumptions have to be made about the form of the distribution in order to extract it.

Perturbed Gaussian copula: introducing the skew effect in co-dependen

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