CMAcombination: CMA combination. Glues an arbitrary copula and arbitrary...

Description Usage Arguments Value Author(s) References

Description

The combination step starts from arbitrary marginal distributions, and grades distributed according to a chosen arbitrary copula which can, but does not need to, be obtained by seperation. Then this function combines the marginals and copula into a new joint distribution.

Usage

1
  CMAcombination(x, u, U)

Arguments

x

a generic x variable. Note: Linearly spaced 'x' help for coverage when performing linear interpolation

u

The value of the cumulative density function associated with x (parametric or non-parametric)

U

an aribtrary copula. Can take any copula obtained with the separation step (i.e. a set of scenario-probabilities)

Value

X a J x N matrix containing the new joint distribution based on the arbitrary copula 'U'

Author(s)

Ram Ahluwalia rahluwalia@gmail.com

References

Meucci A., "New Breed of Copulas for Risk and Portfolio Management", Risk, September 2011 Most recent version of article and code available at http://www.symmys.com/node/335


R-Finance/Meucci documentation built on May 8, 2019, 3:52 a.m.