Option Portfolio Correlation Copula Comparison Model
An example where extremes in a portfolio of stock options are compared using copulas versus correlations.
All example models may be downloaded, modified, and distributed free of charge. You can use these as inspiration for your own models.
Please note all examples require @RISK or the appropriate DecisionTools software product installed to see the full analysis.
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An example where extremes in a portfolio of stock options are compared using copulas versus correlations.
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