Handling Extreme Events

Extreme Events and Portfolio Construction [21]

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Bullet points include: The copula involves rescaling (stretching/squashing) each axis so that the distribution is uniform between 0 and 1 along each axis. Allows models to exhibit non-zero tail dependency (i.e. ‘correlation’ in tail)

Bullet points include: The copula involves rescaling (stretching/squashing) each axis so that the distribution is uniform between 0 and 1 along each axis. Allows models to exhibit non-zero tail dependency (i.e. ‘correlation’ in tail)

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