Discussing copulas with Sergey Aivazian: A memoir

Issue title: Special Issue In commemoration of Professor Sergey Aivazian and his remarkable contributions to statistics and econometrics: Multivariate Statistics in Applications to Econometrics

Guest editors: Henry Penikas

Article type: Research Article

Authors: Fantazzini, Dean

Affiliations: Moscow School of Economics, Moscow State University, Leninskie Gory, 1, Building 61, 119992, Moscow, Russia | E-mail: [email protected]

Correspondence: [*] Corresponding author: Moscow School of Economics, Moscow State University, Leninskie Gory, 1, Building 61, 119992, Moscow, Russia. E-mail: [email protected].

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

DOI: 10.3233/MAS-200507

Journal: Model Assisted Statistics and Applications, vol. 15, no. 4, pp. 363-370, 2020