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Copula-Marginal Algorithm (CMA)

version 1.1.0.0 (4.85 KB) by Attilio Meucci
Copula-Marginal Algorithm, to generate and manipulate rich copulas for risk and portfolio management

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Updated 09 Sep 2011

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To walk through the code and for a thorough description, refer to A. Meucci, "A New Breed of Copulas for Risk and Portfolio Managemen", Risk (September 2011).
Latest version of article and code available at http://symmys.com/node/335

Comments and Ratings (1)

Prasenjit

Updates

1.1.0.0

modified title and short description

MATLAB Release Compatibility
Created with R2011a
Compatible with any release
Platform Compatibility
Windows macOS Linux