Copula Densities: Tail Dependence

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Description

This lecture discusses the concept of copula densities and tail dependence in quantitative risk management. It covers the coefficients of tail dependence, upper and lower tail dependence, and the unique copula of bivariate distributions. The lecture also explores the construction of copula densities and their importance in fitting copulas to data.

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https://mediaspace.epfl.ch/media/0_j7380ybz

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