Bayesian Copulae Distributions, with Application to Operational Risk Management—Some Comments

Philipp Arbenz ()
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Philipp Arbenz: ETH Zurich

Methodology and Computing in Applied Probability, 2013, vol. 15, issue 1, 105-108

Abstract: Abstract This paper points out mistakes in some results given in the paper “Bayesian Copulae Distributions, with Application to Operational Risk Management” by Luciana Dalla Valle, published in 2009 in volume 11, number 1 of “Methodology and Computing in Applied Probability”. In particular, we explain why the inverse Wishart distribution is not a conjugate prior to the Gaussian copula.

Keywords: Bayesian normal copula; Bayesian Student’s t copula; 62C10; 62F15 (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (5)

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DOI: 10.1007/s11009-011-9224-0

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