Defining copulas

Masterclass

pg63-john-hull-jpg

Copulas have become increasingly significant in risk management and derivatives valuation in recent years. They are an important way of quickly defining a correlation structure between two or more variables. Recently, they have been used extensively in the valuation of collateralised debt obligations and other credit derivatives.

But how do copulas work? Consider two correlated variables V1 and V2. The marginal distribution of V1 (sometimes also referred to as the unconditional distribution) is

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact info@risk.net or view our subscription options here: http://subscriptions.risk.net/subscribe

You are currently unable to copy this content. Please contact info@risk.net to find out more.

Sorry, our subscription options are not loading right now

Please try again later. Get in touch with our customer services team if this issue persists.

New to Risk.net? View our subscription options

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here