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For five years, Li's formula, known as a Gaussian copula function, looked like an unambiguously positive breakthrough, a piece of financial technology that allowed hugely complex risks to be modeled with more ease and accuracy than ever before.
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www.wired.com/techbiz/it/magazine/17-03/wp_quant?curren...
www.wired.com/techbiz/it/magazine/17-03/wp_quant?currentPage=all
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The copula function describes the dependence structure of a multivariate ... The use of copula function allows us to overcome the issue of estimating the ...
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www.icer.it/workshop/Romano.pdf
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Our friend Felix Salmon has written a very insightful article for Wired magazine on the implications of the Gaussian copula function for the capital markets. We recommend that anyone, who is curious about why correlation and index arbs desks are doomed in this high vol environment, should read it.
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zerohedge.blogspot.com/2009/02/all-about-gaussian-copul...
zerohedge.blogspot.com/2009/02/all-about-gaussian-copula-function.html
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Then we argue why a copula function approach should be used to specify the joint distribution of survival times after marginal distributions of survival times are derived from market information, such as risky bond prices or asset swap spreads.
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www.defaultrisk.com/pp_corr_05.htm
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By assuming two alternative specifications (Gaussian and Student's t) of the copula function used to describe the joint distribution of default times among obligors, we then demonstrate the effect of the asymptotic tail dependence on modeling portfolio defaults and losses.
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www.defaultrisk.com/pp_crdrv_41.htm
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We give a brief introduction to the concept of copula function in the next section. 5.1 Definition and Basic Properties of Copula Function A copula function is a function that links or marries univariate marginals to their full multivariate distribution.
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cyrusfarivar.com/docs/li.defaultcorrelation.pdf
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The Time to Default of a Given Obligor is computed by creating a dependency between (or perhaps better said Coupling) the Gaussian Copula function C(u,1,u2,u3,…Un) of a series of individual univariate functions and the standard multivariate normal function accordingly:
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www.financial-risk-manager.com/risks/credit/copula.html
www.financial-risk-manager.com/risks/credit/copula.html
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The copula function is considered within the context of financial multivariate data sets that are not normally distributed. The Bernstein polynomial approximation to copulae is given and motivated by its desirable properties.
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ideas.repec.org/p/cam/camdae/0105.html
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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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www.wilmott.com/messageview.cfm?catid=19&threadid=4542
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