Copulas
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…