computational efficiency and accuracy for computing marginal risk contributions of the popular Gaussian copula model and t-copula … parameters in the t-copula model. Extensive numerical tests on computing risk contributions were performed on various copula …

decomposed into its n marginal distributions, and a copula, which completely describes the dependence between the n variables. We … evidence of a structural break in the conditional copula following the introduction of the euro …

copula functions is devoted to the description of copula selection methods to choose the copula model that provides the best … fit for the empirical data at hand, as well as to the description of copula evaluation methods by using goodness …

distributions, which are needed for effective prediction. We develop a semiparametric Gaussian Copula (SGC) approach that predicts … made using a copula-based approach. Specifically, we leverage the means of semiparametric Gaussian copulas to generate a …

We propose a new approach to evaluating copula-based multivariate density forecasts. Employing Hansen’s SPA test and … multivariate joint and the univariate marginal distribution. Applying the approach to exchange rate data, we show the Frank copula …

underlying portfolios via a double-t factor copula model. This allows us to calculate the correlation between these underlying … commonality factor - the total loss distribution of the CDO2 via a one-factor Gaussian Copula Model and numerical methods. The …