Note to Copula Functions
نویسندگان
چکیده
The theory of copulas is known to provide a useful tool for modelling dependence in integrated risk management. In this paper, we describe how may be used copula methodology for the Monte Carlo Analysis whereas the main emphasis is put on Value-at-Risk as a risk measure. In the second part of this paper we show properties more generalised model as measurable space and we show how it is possible to introduce the relevant notions as for example the joint distribution.
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تاریخ انتشار 2006