Tuesday, March 08, 2011

The joy of copulas: An R tutorial

I explore copulas by creating a model with four funds that track market indexes
for stocks, bonds, dollar and commodities. I then use the model to generate simulated values
and test the performance of a model portfolio using the real returns and the simulated returns
to calculate the value at risk (VaR) and the expected shortfall (ES).

Download Copulas

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