Practical Spreadsheet Risk Modeling for Management

144 Practical Spreadsheet Risk Modeling for Management

simulating each of the distributions. Figure5.15 shows the completed sec-

tion of the spreadsheet after tting each of the distributions and adding the

copula U values into each.

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We could now use these distributions in a simulation to model how hous-

ing prices change in the four states, with the correlation patterns in the

changes in housing market prices captured with the copula.

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Only the rst series, column G, is fully expanded: You can see where G161 is added to the

Cauchy distribution t to capture the correlation. The two FALSE entries in the copula show

that the data ...