Foreign Exchange Dependence through Different Copula Models.

In this paper we postulate different scenarios based on two copula models under the format C(u, v)= uv + f (u)g(v) for suitable functions f and g, see Rodríguez-Lallena & Úbeda Flores (2004) [4] and Nelsen et al. (1997) [3]. We used these copulas to model the dependence between two currencies quoted relative to the U.S. Dollar, the Canadian Dollar and the South Korean Won. We assume a Bayesian approach to estimate the copulas parameters, then we estimate the impact of losses on the South Korean Won on the Canadian Dollar. [ABSTRACT FROM AUTHOR]