Discussing copulas with Sergey Aivazian: a memoir

Dean Fantazzini

MPRA Paper from University Library of Munich, Germany

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.

Keywords: Copula; multivariate models; market risk; operational risk; discrete distribution; risk management (search for similar items in EconPapers)
JEL-codes: C32 C51 C53 C58 G17 G32 G33 (search for similar items in EconPapers)
Date: 2020-08
New Economics Papers: this item is included in nep-rmg
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