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Gumbel Copula
The resultant pattern of a scatter plot of data that helps to provide insight into the correlation (relationships) between different variables in a bi-variate or multi-variate matrix analysis. That is, the intersection of two or more probability distributions or other types of distributions.

One of five primary types of copulas.



Applications
Within asset management, the Gumbel copulas can be applied to the analysis of the following multivariate matrices:

Further information on each of these matrices can be found on the corresponding pages of this glossary.

Attributes
Gumbel copulas have the following general attributes:
  • The absence of a tail.
  • A fat belly cloud.
The Gumbel copula has more probability concentrated in the tails than does Frank’s


Analysis of the Gumbel
Listed below are some of the concepts to be used in analysis of a copula:
  • Copula gap
  • Copula front
  • Copula slope
  • Copula linearity
  • Copula trend line
  • Copula centre/Average point (see: Portfolio Average FCI)
  • Copula tail
  • Copula concentration/strength (degree of scatter)
  • Delta changes over time (see: Condition Drift)
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Fig. The five primary types of copulas.


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Fig. A Gumbel copula with its fat belly cloud.

See also:
  • Statistics
Compare with:



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