Copulas: An Introduction
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1. Context
In this swatch, we introduce copulas – a topic that makes an appearance in FRM Part 1 curriculum and then re-appears in much more detail (along with applications) in FRM Part 2. The details of the reading in which this topic appears are given below:
| Area | Quantitative Analysis, Market Risk Management |
| Reading | Financial Correlation Modeling |
| Reference | Gunter Meissner Ch 4. Financial Correlation Modeling – Bottom-Up Approaches In Correlation Risk Modeling and Management, New York: John Wiley & Sons, 2014. |