Bayesian Copulae Distributions, with Application to Operational Risk Management—Some Comments

  title={Bayesian Copulae Distributions, with Application to Operational Risk Management—Some Comments},
  author={Philipp Arbenz},
  journal={Methodology and Computing in Applied Probability},
  • P. Arbenz
  • Published 1 March 2013
  • Economics
  • Methodology and Computing in Applied Probability
This paper points out mistakes in some results given in the paper “Bayesian Copulae Distributions, with Application to Operational Risk Management” by Luciana Dalla Valle, published in 2009 in volume 11, number 1 of “Methodology and Computing in Applied Probability”. In particular, we explain why the inverse Wishart distribution is not a conjugate prior to the Gaussian copula. 
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