.. _sphx_glr_api_gallery_risk_copulas:

Copulas
-------

Dependence separated from the marginals, and the joint extremes that the
Gaussian copula misses.


.. raw:: html

  <div id='sg-tag-list' class='sphx-glr-tag-list'></div>


.. raw:: html

    <div class="sphx-glr-thumbnails">

.. thumbnail-parent-div-open

.. raw:: html

    <div class="sphx-glr-thumbcontainer" tooltip="Sklar (1959) showed that every joint distribution is its marginals glued together by a copula C:">

.. only:: html

  .. image:: /api/gallery/risk/copulas/images/thumb/sphx_glr_plot_01_sklar_gaussian_copula_thumb.png
    :alt:

  :doc:`/api/gallery/risk/copulas/plot_01_sklar_gaussian_copula`

.. raw:: html

      <div class="sphx-glr-thumbnail-title">Sklar's theorem and the Gaussian copula</div>
    </div>


.. raw:: html

    <div class="sphx-glr-thumbcontainer" tooltip="Under a Gaussian copula, joint extremes become independent as one looks further into the tail: the coefficient of tail dependence is zero for any correlation below one. Markets do not behave that way; in a crash everything falls together. Demarta and McNeil (2005) studied the t copula, whose shared random scale makes extremes coincide with probability">

.. only:: html

  .. image:: /api/gallery/risk/copulas/images/thumb/sphx_glr_plot_02_t_copula_tail_dependence_thumb.png
    :alt:

  :doc:`/api/gallery/risk/copulas/plot_02_t_copula_tail_dependence`

.. raw:: html

      <div class="sphx-glr-thumbnail-title">Demarta-McNeil: the t copula and tail dependence</div>
    </div>


.. thumbnail-parent-div-close

.. raw:: html

    </div>


.. toctree::
   :hidden:

   /api/gallery/risk/copulas/plot_01_sklar_gaussian_copula
   /api/gallery/risk/copulas/plot_02_t_copula_tail_dependence