Copula

Tait5 · February 26th, 2004, 2:30 am

HiCan someone step me through how I might use a copula to model joint probabilities of default in Excel. I have been in markets for awhile but I am not esoecially quantitative.If someone could explain all the steps I would be most grateful

asd · February 26th, 2004, 3:46 am

Stefanone · February 26th, 2004, 6:36 am

Mario Melchiorri in his website has some excel spreadsheets to download. Search Google for his web.Rgds,Stefano

Tait5 · February 27th, 2004, 3:17 am

Thank you

ametrano · February 27th, 2004, 2:54 pm

Maybe I'm getting old, but I goggled for"Mario Melchiorri" excel spreadsheet copula(and variations) with no luck. Anyone with a link to share?ciao -- Nando

StanTheMan · February 27th, 2004, 4:37 pm

I know this one:http://www.mchoudhry.co.uk/Mktsoftware/ ... ontributed by Mario Melchiori and co. ...But most (not to say all) of the spread-sheet are not free of charge !

StanTheMan · February 27th, 2004, 4:37 pm

I know this one:http://www.mchoudhry.co.uk/Mktsoftware/ ... ontributed by Mario Melchiori and co. ...But most (not to say all) of the spread-sheet are not free of charge !

mrmelchi · April 2nd, 2004, 5:19 pm

Try Bivariate Archimedean CopulaI hope it helps.

mrmelchi · March 21st, 2006, 9:23 pm

Try Tools for sampling Multivariate Archimedean Copulas.I hope it helps.