Create your first copula in this step-by-step exercise on EXCEL to understand how correlation affects joint risk in multi-hazard / compound risk scenarios through simulation. Many people feel that copulas are scary, yet they really matter for tail-end risk (i.e. rare yet severe impacts); this resource introduces copulas in an interactive, exploratory manner.

This course is at intermediate level, using a scenario-based approach and no equations! For those with of some experience the field of risk management, or PhD students studying compound or multi-hazard risk. It can also serve as a reminder to those experienced in modelling dependency.

The training is important because diversification is the basis of all (re)insurance, and correlation (a.k.a. dependency) destroys diversification. If we get dependency wrong, we mis-estimate risk, mis-price risk etc.