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Hi David, Thank you! Things are much clearer now. As I suspected, the UL may not have been a good example. I think my original question came down to why we use copulas instead of just relying on pairwise correlation. But you answered that with the thoroughness argument. Once again thank you...

Thanks David! To see if I got this right. So going back to the example of UL, if we think of the individual ULs as distributions. All ULs may have different distributions and by mapping them to normals we can correlate them more accurately. This may however not be necessary when we only are...

Hi David, I am having trouble understanding the purpose of the copula. As I understand it, we map a uniform distribution to a normal since we can correlate multiple marginal normals to create a multivariate normal distributions to see how loans default simultaneously. Isn’t this what we do in...

Thanks David, this helps a lot!

Hi David, I’m trying to wrap my head around key rates and therefore have a few questions. I tried searching the forum but couldn’t find the answer. In Tuckmans example all securities seems to have the same maturity as a key rate, but one point of key rates were to keep them as few as possible...