Copulas
Risk 25: Cutting edge classics
Don’t say we didn’t warn you
Copulas and credit models
Copulas and credit models
Cutting Edge introduction: Hedging dependence
Hedging dependence
Need for speed: banks explore FPGAs for portfolio modelling
The gate array way
Perturbed Gaussian copula: introducing the skew effect in co-dependence
Gaussian copula models are often used in the industry when single-asset information is quoted but little is known about their joint relation. These models may arise from correlated stochastic Brownian processes with deterministic volatility and…
Perturbed Gaussian copula: introducing the skew effect in co-dependence
Perturbed Gaussian copula: introducing the skew effect in co-dependence
A new breed of copulas for risk and portfolio management
A new breed of copulas for risk and portfolio management
On the use of t-copulas for economic capital calculations
Research Papers
A new breed of copulas for risk and portfolio management
A new breed of copulas for risk and portfolio management
Cutting edge introduction
A popular copula
The CMS triangle arbitrage
The CMS triangle arbitrage
Beyond Black-Litterman in practice
In principle, the copula-opinion pooling (COP) approach extends the Black-Litterman methodology to non-normally distributed markets and views. However, the implementations of the COP framework presented so far rely on restrictive quasi-normal assumptions…
Operational risk modelling: aggregating loss distributions using copulas
Capturing the dependence structure between business line/risk event types is an extremely important step for any serious attempt to model operational risk. In this article we show how this can be achieved by using a powerful statistical technique known…
A better approach to operational risk aggregation
Professor Carol Alexander proposes an aggregation methodology that takes account of dependencies between op risk losses that have some common risk drivers.
Extreme events and default baskets
Credit derivatives
Pricing default baskets
Nicholas Dunbar, Risk’s technical editor, introduces the first in a new series of technical papers written by quants at Deutsche Bank.“Default correlation has been one of the hottest topics in credit derivatives over the past year. So it is a pleasure to…