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Пікірлер: 25
@tiankhean3 жыл бұрын
Great video. For the first time in my life, I truly understand Copulas. I am 74 years old.
@adamfattal9602 Жыл бұрын
Hopefully I'll truly understand them too by the time I'm 74 years old, although it's not looking likely.
@itooflemma4 ай бұрын
@@adamfattal9602lmao
@harshagarwal48664 жыл бұрын
very easily explained. I have made a model for my company to calculate operational risk capital using copulas
@MJtheFellowActuary4 жыл бұрын
That sounds cool!! If you ever share it on the internet, please send me a link
@ankitapanwar76333 жыл бұрын
Hello Harsh, can you please help me with the Gaussian copula.
@sohamde33313 жыл бұрын
Great video thanks. I used recently COPOD which is a copula based method for Outlier/Anomaly detection. and needed a background (like this video) on Copulas. Such a interesting and useful mathematical object!
@spooros4 жыл бұрын
great video, it would be very interesting if you make a video showing the calculation of SCR using copulas in R
@avibank4 жыл бұрын
Very nice. Coming from a background in statistical methods in computer vision where multivariate/joint distributions are used extensively. I feel like this came up somewhere in the textbook but wasn't named.
@shanikhan7833 жыл бұрын
This videos is very informative and actully give the information about the roots of Copulas. Thankuuu
@aj_actuarial_ca6 ай бұрын
Great video
@giovannistephens31073 жыл бұрын
Brilliant explanation! Thanks for sharing
@Kaassap4 ай бұрын
Great video. I know In late to the party but what book would you recommend for EVT a) rigour in underlying maths, and b) applications?
@auntiewong63263 жыл бұрын
so clear!!! Thank you
@Asd-jr8xj Жыл бұрын
Thanks for explaining copula. Question: understood why the gumbel copula is important between CDR and market risk, but what about interdependencies between market risk and premium risk would you use gumbel copula to define correlation or normal one because one need to assume some kind of correlation but that might be not as strong correlation as it is in between cdr and market risk
@lucysteve53193 жыл бұрын
Very nice video!
@anormalID2 жыл бұрын
jeez this video is awesome
@lordpilot2 жыл бұрын
Hey, I'm trying to verify the inverse you highlight at 07:08, you write psi^(-1)(F(x)) = exp{ [-F(x)]^(1/alpha) }, however, I get psi^(-1)(F(x)) = exp{ - [F(x)]^(1/alpha) }. My procedure is by defining f(x) = x^alpha, g(x) = -x, h(x) = ln(x) such that psi(x) = (f o g o h)(x) Now using this formulation I can write the inverse as psi^(-1)(x) = (f o g o h)^-1(x) = (h^-1 o g^-1 o f^-1)(x) = exp{ - [x]^(1/alpha) }. Am I applying some rules wrongly? It seems by the used notation that you get psi^(-1)(x) = (f o g o h)^-1(x) = (h^-1 o f^-1 o g^-1)(x) = exp{ [-x]^(1/alpha) }
@Achrononmaster Жыл бұрын
You are in agreement. "MJ" used sloppy ^ notation and dropping your { } bracket. He's saying raise everything after the ^ to the _e_ power, which is evident in the fact he did not put it all in superscript position.
@tomw46883 жыл бұрын
Copula is the copulation between marginal distributions?
@MJtheFellowActuary4 жыл бұрын
This video is just one of many in a paid Udemy Course. To see the rest, visit this link: www.udemy.com/course/introduction-to-copulas/?referralCode=FD09B59500CFA149839D
@Achrononmaster Жыл бұрын
@11:38 I agree it was a lot of greed. But any honest actuary was free to write about the more accurate Gumbel Copula. Not many did because they did not understand the fragility, and hence did not know the τ or α value. That in turn is likely because they mostly use neoclassical macro models. The instability of credit-driven capitalism is upwards. You don't know it was fragile (if you are a neoclassical poodle) until it's on the way down. They still haven't learned the lesson today. Only the smarter and more conservative actuaries are pricing rick correctly. How do you know derivatives like MBSs and CDOs are fragile without a macro model that understands the role of credit? You need to know the "mechanics" of the whole system in the macro (so basically MMT), not just past statistics.
@Achrononmaster Жыл бұрын
The instability was understood well before the short sellers got the bankers hooked. They were only looking at the rising defaults. A macro model seeing the credit rate of change "knew" the instability well before that short selling. Very, very few (count them on your hand) were doing such macro modelling. Most were DSGE whores or even worse SVAR kiddies, so basically frauds.