A Short, Comprehensive, Practical Guide to Copulas by Attilio Meucci

Attilio Meucci is the Chief Risk Officer of Kepos Capital, and a world renowned expert on advanced risk and portfolio management.

His most recent research focuses on copulas, and its practical implementation. In this research, Attilio provides a visual primer on copulas, as well as highlights and proves the most important theoretical results. Attilio points out that, “Modeling the marginals and the copula separately provides greater flexibility for the practitioner to model randomness.” And that he wants to “provide a review of the theory of copulas proving the most useful results”.

His research article 1) reviews strictly univariate results, 2) introduces copulas, highlighting and proving the most important theoretical results, and 3) addresses copulas implementation issues.

This research article can be found here, and here.

Attilio will be speaking at the Quant Invest Chicago 2012 conference on June 27, which is one of the 4 streams of the Trading Show Chicago 2012. Come to the event and learn from Attilio and other amazing speakers.