Tải bản đầy đủ - 0 (trang)
Figure 9.6: Simulated Threshold Correlations from the Bivariate Normal Copula with Various Copula Correlations

Figure 9.6: Simulated Threshold Correlations from the Bivariate Normal Copula with Various Copula Correlations

Tải bản đầy đủ - 0trang

t Copula

• t Copula is copula model built from the t distribution

• Consider first the bivariate case.

• The bivariate t copula CDF is defined by



• where

denotes the symmetric multivariate t

distribution



denotes the inverse CDF of the symmetric

univariate t distribution

Elements of Financial Risk Management Second Edition â 2012 by Peter Christoffersen



42



t Copula

The corresponding bivariate t copula PDF is



Elements of Financial Risk Management Second Edition © 2012 by Peter Christoffersen



43



Figure 9.7: Simulated Threshold Correlations from the

Symmetric t Copula with Various Parameters



Elements of Financial Risk Management Second Edition © 2012 by Peter Christoffersen



44



t Copula

• The t copula can generate large threshold correlations

for extreme moves in the assets

• Furthermore it allows for individual modeling of the

marginal distributions, which allows for much

flexibility in the resulting multivariate distribution



Elements of Financial Risk Management Second Edition © 2012 by Peter Christoffersen



45



Tài liệu bạn tìm kiếm đã sẵn sàng tải về

Figure 9.6: Simulated Threshold Correlations from the Bivariate Normal Copula with Various Copula Correlations

Tải bản đầy đủ ngay(0 tr)

×