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Procedure for Simulation with Constructed Copulas

SIMULATION WITH CONSTRUCTED COPULAS DONALD F. BEHAN AND SAMUEL H. COX ABSTRACT. We describe a simple ... Period 1978-1996. December 1997. 1 2 DONALD F. BEHAN AND SAMUEL H. COX its marginal distributions is ...
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Description: This report describes a simple way to construct a bivariate copula with specified marginals and partially specified dependence. For example, the method allows one to model tail behavior scenarios while holding the core of the joint distribution fixed. An Excel workbook named CopulaExample.xls is provided to illustrate the method, including its use in Monte Carlo simulation.
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- Authors: Donald Behan, Samuel Cox
- Date: May 2007
- Competency: Results-Oriented Solutions; Technical Skills & Analytical Problem Solving
- Topics: Modeling & Statistical Methods

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