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Gaussian Copula vs Loans Loss Assessment: A Simplified and Easy-To-Use Model
Company: Journal of Business and Financial Affairs
Company Url: Click here to open
Year Of Publication: 2012
Month Of Publication: January
Resource Link: Click here to open
Download Count: 0
View Count: 1052
Comment Num: 0
Language: English
Source: article
Who Can Read: Free
Date: 10-13-2012
Publisher: Administrator
Summary
The copula theory is a fundamental instrument used in modeling multivariate distributions. It defines the joint distribution via the marginal distributions together with the dependence between variables. Copulas can also model dynamic structures. This paper offers a brief description of the copulas’ statistical procedures implemented on real market data. A direct application of the Gaussian copula to the assessment of a portfolio of loans belonging to one of the banks operating in Lebanon is illustrated in order to make the implementation of the copula simple and straightforward.
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Naïmy, Viviane Sign in to follow this author
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