Tag Archives: Copula

Extreme correlation

Posted on January 31, 2024 by Shengyu ZHENG

Extreme correlation In this article, Shengyu ZHENG (ESSEC Business School, Grande Ecole Program – Master in Management, 2020-2024) explains the concept of extreme correlation. Background In financial risk management, there is a concept that is often overlooked, the extreme correlation … Continue reading →

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Copula

Posted on November 23, 2023 by Shengyu ZHENG

Copula In this article, Shengyu ZHENG (ESSEC Business School, Grande Ecole Program – Master in Management, 2020-2024) presents copula, a statistical tool that is commonly used to model dependency of random variables. Linear correlation In the world stacked with various … Continue reading →

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