Lecture Notes in Statistics
Proceedings of the Workshop Held in Cracow, 10-11 July 2012
Lecture Notes in Statistics
Proceedings of the Workshop Held in Cracow, 10-11 July 2012
Copulas are mathematical objects that fully capture the dependence structure among random variables and hence offer great flexibility in building multivariate stochastic models. Historically, the Gaussian copula model has been one of the most common models in credit risk.
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Copulas are mathematical objects that fully capture the dependence structure among random variables and hence offer great flexibility in building multivariate stochastic models. Historically, the Gaussian copula model has been one of the most common models in credit risk.
