Copula-Marginal Algorithm (CMA)
Version 1.1.0.0 (4.85 KB) by
Attilio Meucci
Copula-Marginal Algorithm, to generate and manipulate rich copulas for risk and portfolio management
To walk through the code and for a thorough description, refer to A. Meucci, "A New Breed of Copulas for Risk and Portfolio Managemen", Risk (September 2011).
Latest version of article and code available at http://symmys.com/node/335
Cite As
Attilio Meucci (2024). Copula-Marginal Algorithm (CMA) (https://www.mathworks.com/matlabcentral/fileexchange/32701-copula-marginal-algorithm-cma), MATLAB Central File Exchange. Retrieved .
MATLAB Release Compatibility
Created with
R2011a
Compatible with any release
Platform Compatibility
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- AI and Statistics > Statistics and Machine Learning Toolbox > Probability Distributions >
- Computational Finance > Risk Management Toolbox >
- Computational Finance > Financial Instruments Toolbox > Price Instruments Using Functions > Credit Derivatives and Credit Exposures > Counterparty Credit Risk >
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