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The COPULA Procedure

Overview
Getting Started
Syntax
Functional Summary PROC COPULA Statement BOUNDS Statement BY Statement DEFINE Statement FIT Statement SIMULATE Statement VAR Statement
Details
Sklar’s Theorem Dependence Measures Normal Copula Student’s t copula Archimedean Copulas Hierarchical Archimedean Copula (HAC)Canonical Maximum Likelihood Estimation (CMLE)Exact Maximum Likelihood Estimation (MLE)Calibration Estimation Nonlinear Optimization Options Displayed Output OUTCOPULA= Data Set OUTPSEUDO=, OUT=, and OUTUNIFORM= Data Sets ODS Table Names ODS Graph Names
Examples
Copula Based VaR Estimation Simulating Default Times
References

Examples: COPULA Procedure

Subsections:

11.1 Copula Based VaR Estimation
11.2 Simulating Default Times

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