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
Attilio Meucci (2023). Copula-Marginal Algorithm (CMA) (https://www.mathworks.com/matlabcentral/fileexchange/32701-copula-marginal-algorithm-cma), MATLAB Central File Exchange. Retrieved .
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- 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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