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by mrmelchi
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...
by mrmelchi
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I know this thread is outdated, but I think that these references can be useful still.Which Archimedean Copula is the right one?Published in October 2003 by 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...
by mrmelchi
June 14th, 2009, 1:11 am
Forum: Student Forum
Topic: CreditRisk+
Replies: 3
Views: 90576

CreditRisk+

by mrmelchi
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...
by mrmelchi
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...
by mrmelchi
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...
by mrmelchi
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.
by mrmelchi
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...
by mrmelchi
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.
by mrmelchi
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.
by mrmelchi
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.
by mrmelchi
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
by mrmelchi
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.
by mrmelchi
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.
by mrmelchi
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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