Copula Free Resource

[jairamjana]

Gummystuff http://www.financialwisdomforum.org/gummy-stuff/ has given a comprehensive walkthrough on Copula for the layman. I have formatted the same in PDF.. This is free for all content so thank this man gummystuff if you like it..

PDF Link ----> http://www.filedropper.com/copulas

Hope this is useful

 

[David Harper CFA FRM]

@jairamjana thank you, this looks helpful (it is so hard to find accessible material on copulas)!

 

[jairamjana]

I used a filesharing site .. Thanks.. I added the new link.. I couldn't directly upload to the forum as file size was so large.. And yes hopefully I will learn Copulas both intuitively and mathematically one day.. I was told that dependence on copulas for modelling default risk (I have not gone through Hull's yet) led to housing bubble.. I wish I could one day get more details about this statement to properly appreciate the negatives of copulas..

 

[David Harper CFA FRM]

Here is a good journalistic (ie, non quant) place to start, Felix Salmon is my favorite financial blogger: http://blogs.reuters.com/felix-salmon/2012/06/21/the-dangerous-gaussian-copula-function/ with some good links at the beginning, including his 2009 story that garnered pretty good attention (http://www.wired.com/2009/02/wp-quant/). Thanks!

 

[jairamjana]

Bookmarked.. This tattoo though..
http://blogs.reuters.com/felix-salmon/files/2011/05/Tattoo.jpg

Thank you @David Harper CFA FRM for that wonderful link... I will read the full account of the Formula that killed Wall Street.. Looks really innocent though to have caused a major collapse...

 

[RiskRat]

Good one. thanks

 

[jairamjana]

here are excel sheets part of the resource.

 

[RiskRat]

Thanks @jairamjana