Gaussian Copula vs Loans Loss Assessment: A Simplified and Easy-To-Use Model
Viviane Y. Naïmy*
Economics Department of Accounting, Notre Dame University, Louaize-Lebanon Faculty of Business Administration, Finance, and Economics, USA
- *Corresponding Author:
- Viviane Y. Naïmy
Economics Department of Accounting
Louaize-Lebanon Faculty of Business Administration
Finance, and Economics, Notre Dame University, USA
E-mail: [email protected]
Received June 28, 2012; Accepted July 30, 2012; PublishedAugust 02, 2012
Citation: Naimy VY (2012) Gaussian Copula vs Loans Loss Assessment: A Simplified and Easy-To-Use Model. J Bus & Fin Aff 1:105. doi:10.4172/2167-0234.1000105
Copyright: © 2012 Naimy VY . This is an open-access article distributed under the terms of the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original author and source are credited.
The copula theory is a fundamental instrument used in modeling multivariate distributions. It defines the joint distribution via the marginal distributions together with the dependence between variables. Copulas can also model dynamic structures. This paper offers a brief description of the copulas’ statistical procedures implemented on real market data. A direct application of the Gaussian copula to the assessment of a portfolio of loans belonging to one of the banks operating in Lebanon is illustrated in order to make the implementation of the copula simple and straightforward.