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December 13th, 2010, 1:46 pm
Forum: The Quantitative Finance FAQs Project
Topic: What are copulas and how are they used in quantitative finance?
Replies: 85
Views: 303301

### What are copulas and how are they used in quantitative finance?

<r>Dear Jalaltarin:I've written this before but I think that it can be useful for you.Which Archimedean Copula is the right one?This paper presents the concept of copula from a practical standpoint. Given the widened use of the multinormal distribution, we argue its inadequacy, while advocate for us...
October 22nd, 2009, 11:20 am
Forum: Student Forum
Topic: Where to find copulas formulas?
Replies: 5
Views: 190474

### Where to find copulas formulas?

<r>I know this thread is outdated, but I think that these references can be useful still.Which Archimedean Copula is the right one?Published in October 2003 by <URL url="http://www.YieldCurve.comThis">www.YieldCurve.comThis</URL> paper presents the concept of copula from a practical standpoint. Give...
June 14th, 2009, 1:11 am
Forum: Student Forum
Topic: CreditRisk+
Replies: 3
Views: 90576

### CreditRisk+

June 14th, 2009, 1:11 am
Forum: Student Forum
Topic: CreditRisk+
Replies: 3
Views: 90576

### CreditRisk+

<t>Hi,Try the following link:CreditRisk+ by Fast Fourier Transform - by Mario R. Melchiori - July 2004Abstract:This paper focuses on the methodology described in CreditRisk+ Technical Document. Appendix A provides analytical explanations of the techniques used to generate the loss distribution arisi...
June 13th, 2009, 11:39 pm
Forum: Student Forum
Topic: CreditRisk+ using FFT - problem
Replies: 1
Views: 40389

### CreditRisk+ using FFT - problem

<t>Dear Pavan:A longer vector is required for a discrete representation of the sum variable than for each component, since the sum variable will take on larger values with non-zero probability. If there is not enough room in the discrete vector, then the tail probabilities for the sum will wrap arou...
April 27th, 2009, 10:32 am
Forum: The Quantitative Finance FAQs Project
Topic: What are copulas and how are they used in quantitative finance?
Replies: 85
Views: 303301

### What are copulas and how are they used in quantitative finance?

<t>I reply post from narkar. I hope is not too late.Which Archimedean Copula is the right one?This paper presents the concept of copula from a practical standpoint. Given the widened use of the multinormal distribution, we argue its inadequacy, while advocate for using the copula as an alternative a...
September 18th, 2007, 1:35 pm
Forum: The Quantitative Finance FAQs Project
Topic: What are copulas and how are they used in quantitative finance?
Replies: 85
Views: 303301

### What are copulas and how are they used in quantitative finance?

I sent you the Excel files to racear@yahoo.com, but your e-mail account rejected it.
June 27th, 2007, 6:11 pm
Forum: Student Forum
Topic: Solving Merton Equations
Replies: 11
Views: 142581

### Solving Merton Equations

<t>Dear rcohen,I think that you refer to asset volatility. For most public firms the price of equity, historical and implicit equity volatility are directly observable. Asset volatility is not observable. It is obtained by using BSM model. If you change Asset volatility to 9%, it will not fit to equ...
June 27th, 2007, 1:33 pm
Forum: Student Forum
Topic: Solving Merton Equations
Replies: 11
Views: 142581

### Solving Merton Equations

I reload the KMV zip file. I hope this helps.
April 4th, 2006, 12:37 pm
Forum: The Quantitative Finance FAQs Project
Topic: What are copulas and how are they used in quantitative finance?
Replies: 85
Views: 303301

### What are copulas and how are they used in quantitative finance?

Try Tools for sampling Multivariate Archimedean Copulas( www.defaultrisk.com/pp_corr_83.htm )I hope it helps.
March 21st, 2006, 9:23 pm
Forum: Student Forum
Topic: Copula
Replies: 8
Views: 190474

### Copula

Try Tools for sampling Multivariate Archimedean Copulas.I hope it helps.
March 6th, 2006, 9:42 pm
Forum: Numerical Methods Forum
Topic: CreditRisk+
Replies: 3
Views: 126799

### CreditRisk+

If still exists anyone interesed about CreditRisk+ in MatLab,VBA and R, try the following link:CreditRisk+ by FFT
August 14th, 2005, 1:20 pm
Forum: Technical Forum
Topic: is there an integral fonction in VB??
Replies: 5
Views: 140904

### is there an integral fonction in VB??

Try the following links:Mid Point Numerical Integration.Trapezoidal Numerical Integration.I hope this helps.
August 13th, 2005, 10:57 pm
Forum: Student Forum
Topic: constructing a copula given information for the underlying random variables
Replies: 6
Views: 139377

### constructing a copula given information for the underlying random variables

I wrote the paper "Which Archimedean Copula is the right one?". It was published in October 2003 by .YieldCurve.com. Currently, paper and spreadsheets are freely available on the following links:PaperExcel SheetExcel SheetPerhaps you could find out a reply to your question.I hope it helps.
August 11th, 2005, 2:54 pm
Forum: Student Forum
Topic: Solving Merton Equations
Replies: 11
Views: 142581

### Solving Merton Equations

I think this Excel file will be useful for you. I hope it helps.
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