hard · Quantitative Finance

Which property of a 'Copula' makes it particularly useful for a risk manager modeling a portfolio of different asset classes (e.g., Equities and Bonds)?

1. It reduces the dimensionality of the covariance matrix
2. It guarantees that correlations will remain constant during market crashes
3. It is an efficient method for calculating eigenvalues of a portfolio
4. It separates the dependence structure from the individual marginal distributions

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