Discussing copulas with Sergey Aivazian: a memoir

Fantazzini, Dean (2020): Discussing copulas with Sergey Aivazian: a memoir. Forthcoming in: Model Assisted Statistics and Applications : pp. 1-14.

Abstract

Sergey Aivazian was the head of my department at the Moscow School of Economics, but he was much more than that. He played an important role in my life, and he contributed to my studies devoted to copula modelling. This small memoir reports how this amazingly polite and smart scientist helped me to develop my academic skills and to further stimulate my interest in multivariate modelling and risk management. Some open questions related to multivariate discrete models that were among the last topics I discussed with Sergey are reported, hoping they can be of interest to young researchers for further studies.

• Item Type: MPRA Paper
• Language: English
• Keywords: Copula; multivariate models; market risk; operational risk; discrete distribution; risk management
• Subjects: C - Mathematical and Quantitative Methods > C3 - Multiple or Simultaneous Equation Models ; Multiple Variables > C32 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes ; State Space Models; C - Mathematical and Quantitative Methods > C5 - Econometric Modeling > C51 - Model Construction and Estimation; C - Mathematical and Quantitative Methods > C5 - Econometric Modeling > C53 - Forecasting and Prediction Methods ; Simulation Methods; C - Mathematical and Quantitative Methods > C5 - Econometric Modeling > C58 - Financial Econometrics; G - Financial Economics > G1 - General Financial Markets > G17 - Financial Forecasting and Simulation; G - Financial Economics > G3 - Corporate Finance and Governance > G32 - Financing Policy ; Financial Risk and Risk Management ; Capital and Ownership Structure ; Value of Firms ; Goodwill; G - Financial Economics > G3 - Corporate Finance and Governance > G33 - Bankruptcy ; Liquidation

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