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

business graph

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.

Click here to view the full version of this article.

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

If you already have an account, please sign in here.

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: