Difference between revisions of "Copula Based Credit Portfolio Models"
From Open Risk Manual
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Latest revision as of 20:54, 21 November 2022
Definition
Copula Based Credit Portfolio Models' denotes a mathematical framework and computational method used in the Monte Carlo Simulation of Credit Portfolios that captures Dependency and Correlation between credit events using concepts from copula theory of distributions
Methodology
The following documents the mathematical structure of copula based models