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

July 15th, 2003, 10:22 am

Going back to CGumble1.85(0.91,0.958523)=0.90. This guarantees that we will always choose the points on the upper tail, where both u and v are close to 1. How about lower tail? Or other points that are unusual while one, either u or v, is usual? I am really confused about this 90% boundary issue... How do we reconcile what we see in the contour plot of a joint distribution, where contour curves are oval-like (not necessarily an oval), with the level curves of a cumulative distribution function of a copula?
 
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mrmelchi
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What are copulas and how are they used in quantitative finance?

July 15th, 2003, 6:26 pm

You wrote:Let's see if I get it correct - Assume Gumbel copula with theta 1.85, there is a 90% probability that v < 0.958523 conditional on u = 0.91. Assume Gumbel copula with theta 1.85, there is a 90% probability that v <= 0.958523 conditional on u <= 0.91. You wrote:But why set u > C(u,v) = 0.91?When u tends to Copula´s value v tends to 1 and vice versa.
 
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virus
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What are copulas and how are they used in quantitative finance?

September 23rd, 2003, 6:37 pm

Copula's are also used to calculate VAR ....aggregating across different risk distributions
 
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taeglich
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What are copulas and how are they used in quantitative finance?

October 25th, 2003, 5:20 am

Hello to all!read about this wonderfull spreadsheet! ... is it still available?Thanks a lot in advance!Thomas (email: [email protected])
Last edited by taeglich on October 24th, 2003, 10:00 pm, edited 1 time in total.
 
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MrQuant
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What are copulas and how are they used in quantitative finance?

November 3rd, 2003, 9:22 am

I have a spread sheet for Gumbel copula. Do any body have spreadsheet for Archimedian, T-copula ....etc?I can have a swap deal with him/her.
 
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mrmelchi
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What are copulas and how are they used in quantitative finance?

November 3rd, 2003, 9:33 am

MrQuant:Give me your e-mail account, so I can send you the spreadsheets.Mario Melchiori
 
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MrQuant
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What are copulas and how are they used in quantitative finance?

November 3rd, 2003, 9:37 am

Thanks for your reply Mr Melchi.My mail id is [email protected]
 
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yawhueiw
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What are copulas and how are they used in quantitative finance?

November 11th, 2003, 8:50 am

QuoteOriginally posted by: pb273Copulas can be used to model joint distribution of multiple securities. Their most commonly reported academic usage is for risk-management in credit derivatives, insurance and event risk areas - however it doesn't do justification to the uses that it can be put to. It can be used to pair trading and statistical arbitrage modeling. Two of the most common types of copulas are the archimedian copulas and the elliptical copulas. For stocks in sectors where is a linkage or significant degree of co-movement (eg. software, semiconductor etc), elliptical copulas can be used to model joint movement. In sectors, where there is a lot of event risk of individual stocks, ex. say pharma companies which can rise or fall depending on whether it got some drug approval or won some court case on a pending patent litigation etc, archimedian copulas can be used. Now the question that can arise is "okay! i modelled the joint movement by a copula, now how do i make money out of them?" - one way which can be explored ... is to define a boundary within which say 90% of the time the joint movement lies, for instance an ellipse in the case of an elliptical copula and then whenever the joint-movement of the securities is outside the ellipse one can use options+futures (not pure futures as they are linear) and possibly other non-linear derivatives (barriers etc) that will make money if the joint-movement travels within the ellipse after some time etc .Hello pb273Could you explain your idea about how to make money out of them in more details please?
 
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Chukchi
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What are copulas and how are they used in quantitative finance?

November 11th, 2003, 3:35 pm

Copula Methods in FinanceHardcover: 512 pages Publisher: John Wiley & Sons; (February 2004) ISBN: 0470863447
 
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Gaita
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What are copulas and how are they used in quantitative finance?

January 19th, 2004, 3:25 pm

Hi- I would be very pleased to have your spreadsheet. Could you please email them to me? My address is: [email protected] Tanks a lot and regards,Gaita
 
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mc
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What are copulas and how are they used in quantitative finance?

February 16th, 2004, 6:47 pm

I would also enjoy seeing the spreadsheet. Could you send to [email protected]?Thanks
 
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GusMagal
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What are copulas and how are they used in quantitative finance?

February 18th, 2004, 1:18 pm

Mario - is your s/s still available?I wouldn't mind in having it.Many thanks,[email protected]
 
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hasare
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What are copulas and how are they used in quantitative finance?

February 26th, 2004, 11:30 am

I'd pleased having a copy of your spreadsheet. My Email is [email protected]
 
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mrmelchi
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What are copulas and how are they used in quantitative finance?

April 3rd, 2004, 1:10 pm

Try Which Archimedean Copula is the Right One? .I hope it helps.
Last edited by mrmelchi on April 3rd, 2006, 10:00 pm, edited 1 time in total.
 
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bompaholm
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What are copulas and how are they used in quantitative finance?

April 18th, 2004, 8:18 am

Convert the Copula(u,v) = [0,1] to "price" for assets when calculating for VaR? Hello! Have a urgent matter which I doesn't understand how to solve. Many Copula articles use VaR to see how good and accurate the copula mesure is. No problem with that.. That gives us a value between [0,1]in return for many articles. Rank, Jorion and others.. But HOW? do one convert these u and v number betweeb 0 and 1 to prices for the assets? To therby see the change from t to t+1.. and to use the VaR mesure?The calculation of the prices to Copula(u,v) isn't any problem but how do I calculate them to the Value at Risk value?
Last edited by bompaholm on April 17th, 2004, 10:00 pm, edited 1 time in total.