Copulas are functions that enable the construction of multivariate probability distributions by binding together univariate marginal distributions. Central to probability theory, they allow ...

As global financial markets become increasingly interconnected, accurately modelling correlations between assets is essential. Traditional models often assume static correlations, which fail to ...

A rigorous approach to determining the credit risk posed by highly leveraged counterparties is not something that is easy to develop and implement. One reason for this is the scarcity of information.

We propose a new copula model that can be used with replicated spatial data. Unlike the multivariate normal copula, the proposed copula is based on the assumption that a common factor exists and ...

We build a class of copula models that captures time-varying dependence across large panels of financial assets. Our models nest Gaussian, Student's t, grouped Student's t, and generalized hyperbolic ...