Copulas are functions that enable the construction of multivariate probability distributions by binding together univariate marginal distributions. Central to probability theory, they allow ...

This is a preview. Log in through your library . Abstract A bivariate distribution with continuous margins can be uniquely decomposed via a copula and its marginal distributions. We consider the ...

Journal of Coastal Research, SPECIAL ISSUE NO. 103. Global Topics and New Trends in Coastal Research: Port, Coastal and Ocean Engineering (SUMMER 2020), pp. 839-842 (4 pages) In order to improve the ...

This paper explores the impact of elliptical and Archimedean copula models on the valuation of basket default swaps. We employ Monte Carlo simulation, in connection with the copula models, to estimate ...

Get your news from a source that’s not owned and controlled by oligarchs. Sign up for the free Mother Jones Daily. In 2000, while working at JPMorgan Chase, Li published a paper in The Journal of ...

MacKenzie is a very smart sociologist, who understands quants and copula functions much more deeply than I ever did. (And, like most journalists, I forgot nearly all of what I ever knew about them ...

As global financial markets become increasingly interconnected, accurately modelling correlations between assets is essential. Traditional models often assume static correlations, which fail to ...